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Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models
File(s)
Author(s)
Mijatovic, A
Urusov, A
Type
Journal Article
Abstract
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.
Date Issued
2012-04
Citation
Finance and Stochastics, 2012, 16 (2), pp.225-247
URI
DOI
ISSN
0949-2984
Publisher
SPRINGER HEIDELBERG
Start Page
225
End Page
247
Journal / Book Title
Finance and Stochastics
Volume
16
Issue
2
Copyright Statement
Copyright © 2010, Springer-Verlag. The final publication is available at Springer via http://dx.doi.org/10.1007/s00780-010-0152-6
License URL
Identifier
http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=000301182600003&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
Publication Status
Published