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

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  • Aleksandar Mijatovi\'c
  • Mikhail Urusov
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    Abstract

    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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    File URL: http://arxiv.org/pdf/1005.1861
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1005.1861.

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    Date of creation: May 2010
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    Handle: RePEc:arx:papers:1005.1861

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    Web page: http://arxiv.org/

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    1. Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 138, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Robert Fernholz & Ioannis Karatzas, 2005. "Relative arbitrage in volatility-stabilized markets," Annals of Finance, Springer, Springer, vol. 1(2), pages 149-177, November.
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