  Contrary to the claims made by several authors, a financial market model in
which the price of a risky security follows a reflected geometric Brownian
motion is not arbitrage-free. In fact, such models violate even the weakest
no-arbitrage condition considered in the literature. Consequently, they do not
admit num\'eraire portfolios or equivalent risk-neutral probability measures,
which makes them totally unsuitable for contingent claim valuation.
Unsurprisingly, the published option pricing formulae for such models violate
textbook no-arbitrage bounds.
