Contingent Claim Valuation under Increasing Profit, Strong Arbitrage, and Arbitrage of the First Kind

Yukihiro Tsuzuki

Papers from arXiv.org

Abstract: We study the upper hedging price for contingent claims in market models with strong types of arbitrage: increasing profit, strong arbitrage, and arbitrage of the first kind. The existence of arbitrage may make the price smaller than if it did not exist. For example, when the asset price process has a reflecting boundary, which introduces increasing profit in the market model, the option prices are reduced to those of the corresponding options that knock-out at the boundary. Furthermore, we demonstrate that corporate stock price processes with increasing profit are obtained as a result of corporate stock issuance and repurchase plans.

Date: 2026-03
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2603.28256 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2603.28256

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().