  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.
