摘要翻译：
我们证明了资产价格的等价局部鞅测度的存在性并不阻止对正股票价格写的欧洲调用的负价格。特别地，我们说明了许多标准的无套利论点隐含地依赖于比没有免费午餐的风险消失(NFLVR)假设更强的条件。在满足NFLVR的模型中，可以观察到未定权益的复制价格与市场价格之间的差异，因为某些交易策略，即买入一个投资组合，卖出另一个投资组合，往往被标准的可容许性约束所排除。
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英文标题：
《Negative Call Prices》
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作者：
Johannes Ruf
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  We show that the existence of an equivalent local martingale measure for asset prices does not prevent negative prices for European calls written on positive stock prices. In particular, we illustrate that many standard no-arbitrage arguments implicitly rely on conditions stronger than the No Free Lunch With Vanishing Risk (NFLVR) assumption. The discrepancy between replicating prices and market prices for a contingent claim may be observed in a model satisfying NFLVR since certain trading strategies of buying one portfolio and selling another one are often excluded by standard admissibility constraints.
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PDF链接：
https://arxiv.org/pdf/1204.1903