A note on sufficient conditions for no arbitrage [An article from: Finance Research Letters]

by P. Carr, D.B. Madan

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This digital document is a journal article from Finance Research Letters, published by Elsevier in . The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
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.

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