A note on sufficient conditions for no arbitrage
نویسندگان
چکیده
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. 2005 Elsevier Inc. All rights reserved. JEL classification: G10; G12; G13; G14
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