A note on sufficient conditions for no arbitrage

Peter Carr; Dilip B. Madan

doi:10.1016/j.frl.2005.04.005

A note on sufficient conditions for no arbitrage

Peter Carr, Dilip B. Madan

Finance and Risk Engineering

Research output: Contribution to journal › Article › peer-review

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 language	English (US)
Pages (from-to)	125-130
Number of pages	6
Journal	Finance Research Letters
Volume	2
Issue number	3
DOIs	https://doi.org/10.1016/j.frl.2005.04.005
State	Published - Sep 2005

Keywords

Butterfly spread
Calendar spread
Call spread
Markov martingales
Matching marginals

ASJC Scopus subject areas

Finance

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10.1016/j.frl.2005.04.005

Cite this

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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.",

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KW - Markov martingales

KW - Matching marginals

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A note on sufficient conditions for no arbitrage

Abstract

Keywords

ASJC Scopus subject areas

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