Equilibrium and arbitrage-based option pricing models are based on the assumption that the derivative and its underlying asset are simultaneously observable. However, empirical testing with transactions data must deal with less than perfect synchronicity and windows defining a ‘match’...

<section xml:id="fut21667-sec-0001"> The lattice approximation to a continuous time process is an especially useful way to value American and real options. We choose lattice probabilities by extending density matching for diffusions to density matching for jump diffusions. Technically, this requires that diffusion and jump...</section>

Models in financial economics derived from no-arbitrage assumptions are standard fare among theoreticians and practitioners. However, several authors have investigated the impact of short lived arbitrage on European options using models borrowed from disequilibria in physics. In this paper, we...