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 all no-arbitrage conditions, linking their validity to the existence and to the properties of (weak) martingale deflators and to the characteristics of the discounted asset price process.
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