Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 16 (2012)
Issue (Month): 2 (April)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- 60H - - - - - -
- 91B - - - - - -
- 91B - - - - - -
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G19 - Financial Economics - - General Financial Markets - - - Other
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- Robert Fernholz & Ioannis Karatzas & Constantinos Kardaras, 2005. "Diversity and relative arbitrage in equity markets," Finance and Stochastics, Springer, vol. 9(1), pages 1-27, January.
- Eckhard Platen, 2004.
"A Benchmark Approach to Finance,"
Research Paper Series
138, Quantitative Finance Research Centre, University of Technology, Sydney.
- Daniel Fernholz & Ioannis Karatzas, 2010. "On optimal arbitrage," Papers 1010.4987, arXiv.org.
- Robert Fernholz & Ioannis Karatzas, 2005. "Relative arbitrage in volatility-stabilized markets," Annals of Finance, Springer, vol. 1(2), pages 149-177, November.
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