A note on sufficient conditions for no arbitrage

Peter Carr, Dilip B. Madan

Research output: Contribution to journalArticlepeer-review


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
Issue number3
StatePublished - Sep 2005


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

ASJC Scopus subject areas

  • Finance


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