A note on sufficient conditions for no arbitrage

Peter Carr, Dilip B. Madan

Research output: Contribution to journalArticle

Abstract

It is shown that the absence of call spread, butterfly spread and calendar spread arbitrages is sufficient to exclude all static arbitrages from a set of option price quotes across strikes and maturities on a single underlier.

Original languageEnglish (US)
Pages (from-to)125-130
Number of pages6
JournalFinance Research Letters
Volume2
Issue number3
DOIs
StatePublished - Sep 2005

Keywords

  • Butterfly spread
  • Calendar spread
  • Call spread
  • Markov martingales
  • Matching marginals

ASJC Scopus subject areas

  • Finance

Fingerprint Dive into the research topics of 'A note on sufficient conditions for no arbitrage'. Together they form a unique fingerprint.

  • Cite this