| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 9551480 | Finance Research Letters | 2005 | 6 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Peter Carr, Dilip B. Madan,