A note on sufficient conditions for no arbitrage

Finance Research Letters

Volumn 2, Issue 3, 2005, Pages 125-130

  Carr, Peter ^a   Madan, Dilip B ^b  

^a NEW YORK UNIVERSITY   (United States)

^b UNIVERSITY OF MARYLAND   (United States)

Author keywords

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

Indexed keywords

EID: 23844547906     PISSN: 15446123     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.frl.2005.04.005     Document Type: Article

References (11)

1. D. Breeden R. Litzenberger Prices of state contingent claims implicit in option prices Journal of Business 51 1978 621-651
2. P. Carr H. Géman D.B. Madan M. Yor Stochastic volatility for Lévy processes Mathematical Finance 13 2003 345-382
3. F. Delbaen W. Schachermayer A general version of the fundamental theorem of asset pricing Mathematische Annalen 300 1994 463-520
4. J. Harrison D. Kreps Martingales and arbitrage in multiperiod securities markets Journal of Economic Theory 20 1979 381-408
5. M. Harrison S. Pliska Martingales and stochastic integrals in the theory of continuous trading Stochastic Processes and Their Applications 11 1981 215-260
6. H.G. Kellerer Markov-Komposition und eine Anwendung auf Martingale Mathematische Annalen 198 1972 99-122
7. D.B. Madan M. Yor Making Markov martingales meet marginals Bernoulli 8 2002 509-536
8. R.C. Merton Theory of rational option pricing Bell Journal of Economics and Management Science 4 1973 141-183
9. M. Rothschild J.E. Stiglitz Increasing risk: I. A definition Journal of Economic Theory 2 1970 225-243
10. M. Rothschild J.E. Stiglitz Increasing risk: II. Its economic consequences Journal of Economic Theory 3 1971 66-84
11. M. Shaked J.G. Shantikumar Stochastic Orders and Their Applications 1994 Academic Press San Diego