Arbitrage is non-parametrically examined and empirically analyzed in US equity markets. Firstly, analyzed are the … properties of arbitrage; and secondly, the factors explaining arbitrage are tested. Empirical analysis concerns a decade of … (log base) significantly quantifies arbitrage in the US equity markets. The properties of the log-base arbitrage are …

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

We investigate statistical arbitrage strategies when there is ambiguity about the underlying time-discrete financial … mathematical characterization of statistical arbitrage, which was originally introduced by Bondarenko in 2003. In contrast to pure … arbitrage strategies, statistical arbitrage strategies are not entirely risk-free, but the notion allows to identify strategies …

We investigate the arbitrage-free property of stock price models where the local martingale component is based on an … models in the literature admit arbitrage opportunities. We investigate in detail the features of the existing model … specifications which create these arbitrage opportunities, and consequently construct a modification that is arbitrage free …

the prices across these markets are mutually consistent, and are free from arbitrage trades …

We propose a method for determining an arbitrage-free density implied by Hagan’s formula. Our technique is based on the … function (SDF) and project them on a polynomial of an arbitrage-free variable for which we choose the Gaussian variable. In … this way we have equality in probability at the collocation points while the generated density is arbitrage-free. Analytic …

a reflected geometric Brownian motion is not arbitrage-free. In fact, such a model is unsuitable for contingent claim … valuation because it violates even the weakest no-arbitrage conditions. In particular, it does not admit a well-defined market … option pricing formulae for such models violate textbook no-arbitrage bounds …