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Understanding completeness in this simple one-period exercise

I don't think you need the contingent claim calculation but the problem can be solved a little bit easier. (For the future, don't use b twice when meaning different things :)). I think you can solve ...
MrLCh's user avatar
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1 vote

Free Arbitrage conditions in ATM swaption surfaces

See Johnson, Simon and Nonas, Bereshad, Arbitrage-Free Construction of the Swaption Cube (January 5, 2009). Available at SSRN: or
Marco B's user avatar
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1 vote

The relationship between no-arbitrage and the law of one price

A simple textbook example is the following. Consider a discrete market with two assets and one time step: $B_0=-0.1$, $B_1(\omega)=1 \;\forall\omega\in\Omega$ and $S_0=-0.2$ and $S_1(\omega)=2\;\...
Kevin's user avatar
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