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

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No-arbitrage
Arbitrage
Maturity
Calendar
Option prices

Keywords

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

ASJC Scopus subject areas

  • Finance

Cite this

A note on sufficient conditions for no arbitrage. / Carr, Peter; Madan, Dilip B.

In: Finance Research Letters, Vol. 2, No. 3, 09.2005, p. 125-130.

Research output: Contribution to journalArticle

Carr, Peter ; Madan, Dilip B. / A note on sufficient conditions for no arbitrage. In: Finance Research Letters. 2005 ; Vol. 2, No. 3. pp. 125-130.
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