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

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

2010-05-11

arxiv.org/abs/1005.1861v1

Economy

Quantitative Finance

General Finance

20 pages; most results in this paper were contained in the first version of submission 0905.3701; to appear in Finance & Stoch

Scientific paper

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

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