Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models

被引：9

作者：

Mijatovic, Aleksandar ^{[2
]}

Urusov, Mikhail ^{[1
]}

机构：

[1] Univ Ulm, Inst Math Finance, Ulm, Germany

[2] Univ Warwick, Dept Stat, Coventry CV4 7AL, W Midlands, England

来源：

FINANCE AND STOCHASTICS | 2012年 / 16卷 / 02期

关键词：

Free lunch with vanishing risk; Generalised arbitrage; Relative arbitrage; One-dimensional diffusions; FUNDAMENTAL THEOREM; RELATIVE ARBITRAGE;

D O I：

10.1007/s00780-010-0152-6

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We obtain a deterministic characterisation of the no free lunch with vanishing risk, the no generalised arbitrage and the no relative arbitrage conditions in the one-dimensional diffusion setting and examine how these notions of no-arbitrage relate to each other.

引用

页码：225 / 247

页数：23

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