A sufficient and necessary condition for arbitrage-free pricing
This paper derives a sufficient and necessary condition for arbitrage-free pricing, by the mathematical definition of linear dependency. It states that any pricing function that can be expressed as a linear combination of some of its partial derivatives inherently possesses the arbitrage-free property. This condition can serve as a quick 'reality check' to help search for arbitrage-free asset pricing.
Volume (Year): 2 (1996)
Issue (Month): 3 ()
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