exposed towards domestic option products, they neglect the possibility of engaging in foreign volatility arbitrage. These …

exists, arbitrage opportunities must also exist. Conversely, at times when arbitrage profits exist, asset markets are … susceptible to self-fulfilling fluctuations. The tight theoretical connection between price volatility and arbitrage is detectable …

inferences about anticipated returns. This study derives arbitrage-free affine forward currency models (AFCMs) with closed …