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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

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.

Suggested Citation

  • Aleksandar Mijatovi'c & Mikhail Urusov, 2010. "Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models," Papers 1005.1861, arXiv.org.
  • Handle: RePEc:arx:papers:1005.1861
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    File URL: http://arxiv.org/pdf/1005.1861
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    References listed on IDEAS

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    1. Eckhard Platen, 2006. "A Benchmark Approach To Finance," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 131-151.
    2. 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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    Cited by:

    1. Alexander Vervuurt, 2015. "Topics in Stochastic Portfolio Theory," Papers 1504.02988, arXiv.org.

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