A Note on Standard No-Arbitrage Conditions
June 3, 2010
We discuss standard no-arbitrage conditions for a plain vanilla call price function. Furthermore, a new no-arbitrage condition is discussed which is derived from an observation by Gatheral (2000).
Number of Pages in PDF File: 18
Keywords: No-Arbitrage Conditionsworking papers series
Date posted: June 3, 2010
© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo2 in 0.469 seconds