arbitrage. Because of these limits, derivative securities can play primary roles in risk allocation and investors can demand …

We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible … mutually singular probability measures. With a single probability model, essential equivalence between the absence of arbitrage … equivalent symmetric martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove …

We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility … uncertainty. With a standard probabilistic model, essential equivalence between the absence of arbitrage and the existence of an … martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove the existence of …

Option prices, particularly those of out-of-the-money equity index puts, are difficult to justify in a no-arbitrage … framework. This paper shows how limits to arbitrage affect the relative pricing of out-of-the-money put vs. call options (option … support for the existence of a limits to arbitrage effect on option prices as well as option returns …

developed which completely characterizes all risk arbitrage opportunities which arise if a well-behaved pricing kernel does not … exist. The Stochastic Arbitrage system can account for market imperfections in the form of transactions costs and general … portfolio restrictions. An active trading strategy based on the Stochastic Arbitrage system for front-month S&P500 stock index …

Black and Scholes, or the characterization of arbitrage free term structure of interest rates obtained by HJM. Clearly, a …