WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS

被引：12

作者：

Fontana, Claudio ^{[1
]}

机构：

[1] Univ Paris Diderot, Lab Probabilites & Modeles Aleatoires, F-75205 Paris, France

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2015年 / 18卷 / 01期

关键词：

Arbitrage; benchmark approach; continuous semimartingale; martingale deflator; market price of risk; arbitrage of the first kind; free lunch with vanishing risk;

D O I：

10.1142/S0219024915500053

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We propose a unified analysis of a whole spectrum of no-arbitrage conditions for financial market models based on continuous semimartingales. In particular, we focus on noarbitrage conditions weaker than the classical notions of No Arbitrage opportunity (NA) and No Free Lunch with Vanishing Risk (NFLVR). We provide a complete characterization of the considered no-arbitrage conditions, linking their validity to the characteristics of the discounted asset price process and to the existence and the properties of (weak) martingale deflators, and review classical as well as recent results.

引用

页数：34

共 86 条

[1]

[Anonymous], 1999, CONTINUOUS MARTINGAL

[2]

ANSEL JP, 1994, ANN I H POINCARE-PR, V30, P303

[3]

ANSEL JP, 1992, ANN I H POINCARE-PR, V28, P375

[4] Strict local martingale deflators and valuing American call-type options [J].