, even after moneyness scaling has been performed. This presents possible arbitrage opportunities on the (L)ETF market which … can be exploited by traders. We build possible arbitrage strategies by constructing portfolios with LETF shares and …

in discrete space and continuous time. The market described allows fleeting arbitrage opportunities, since a vanishing …

in discrete space and continuous time. The market described allows fleeting arbitrage opportunities, since a vanishing …

cash flows process with random coefficients. We show that the model is free of arbitrage and that the transversality …

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 …