The no Butterfly arbitrage domain of Gatheral SVI 5-parameters formula for the volatility smile has been recently …

A central conjecture of behavioural finance is that arbitrage opportunities appear as a result of systematic irrational … investment behaviour and persist since real-world arbitrage trades actually involve costs and risks due to market frictions and … non-fundamental risk. This paper shows that the no-arbitrage condition can emerge from the market selection process even …

The article describes a global and arbitrage-free parametrization of the eSSVI surfaces introduced by Hendriks and … suggested in this article is faster and always guarantees an arbitrage-free fit of market data …

markets. Arbitrage opportunities between redundant risky assets arise endogenously in an economy populated by rational …, heterogeneous investors facing restrictions on leverage and short sales. An arbitrageur, indulging in costless, riskless arbitrage … arbitrageur lacks market power, they always take on the largest arbitrage position possible. When the arbitrageur behaves …

), the theory is enfolded in Keynes's (1936) notion of user cost and is naturally generated by an arbitrage …

to Ross and Chamberlain-Rothschild, we shhow that in the absence of gains from asymptotic arbitrage, the square of the …

price a given asset : the arbitrage approach through the existence of a risk-neutral density, the utility approach through a …

price a given asset : the arbitrage approach through the existence of a risk-neutral density, the utility approach through a …

This paper systematically examines the impact of nine popular arbitrage costs measures on cross-sectional mispricing … based on ten well-known and robust anomalies. We show that binding arbitrage barriers slowly change over time. In early … years with few publications documenting return anomalies, arbitrage costs have tiny impact even though mispricing is present …