Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5090921 | Journal of Banking & Finance | 2007 | 21 Pages |
Abstract
In this paper, we show that there exists an arbitrage-free model, which is consistent with the option quotes, if these inequalities are satisfied. One implication is that all static arbitrage strategies are linear combinations, with positive weights, of those described here. We also characterize admissible default probabilities for models which are consistent with given option quotes.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Laurent Cousot,