Weak and strong no-arbitrage conditions for continuous financial markets
AbstractWe propose a unified analysis of a whole spectrum of no-arbitrage conditions for financial market models based on continuous semimartingales. In particular, we focus on no-arbitrage conditions weaker than the classical notions of No Arbitrage and No Free Lunch with Vanishing Risk. We provide a complete characterisation of the considered no-arbitrage conditions, linking their validity to the characteristics of the discounted asset price process and to the existence and the properties of (weak) martingale deflators, and review classical as well as recent results.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1302.7192.
Date of creation: Feb 2013
Date of revision: May 2014
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