I use five separate measures of deviation from Put-Call Parity of options on a stock without splits or dividends as separate negative measures for market efficiency. I rely upon the theory of trading volume as a function of short sales costs, etc., and that of market efficiency as a function of...

This paper documents four findings in the option market based on two stages of decimalization where switching control and treatment stocks is possible. First, uninformed traders are more cost sensitive than informed traders. Second, the paper proves and verifies that when uninformed traders are...

In this notes, I argue and show that the so-called Efficient Markets Hypothesis (EMH) is no less than a false prophecy, the Black-Scholes-Merton (BSM) formula - a perfect rendition of EMH - no more than a parlor trick, and risk-neutral pricing models - generalisations of BSM - severe...

The most basic and important object for any company trading energy commodities is a so-called Price Forward Curve, or PFC, providing prices in a fine granularity for a future period of time. Clearly, the PFC must be free of arbitrage with respect to the relevant set of forward prices at all...

In an arbitrage-free economy with non-zero bid-ask spreads the existence of payoffs whose price is lower than the price of a dominated payoff cannot be discarded in general. However, when the former price corresponds to trivial portfolios which involve buying or selling one unit of the basis...

In this article, we will discuss a few enhancements for SABR model implementation, first we will introduce a fast SABR calibration with the standard Hagan's formula by reducing the number of model parameters; then we will address the negative probability at the low strike wing with the Hagan's...

The stock market efficiency is one of the important concerns as it performs a significant role in providing fair chance to trading members by providing access to complete and accurate information and reflects fair current market prices. The present study has been conducted with the purpose of...