Weak and strong no-arbitrage conditions for continuous financial markets
We 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.
|Date of creation:||Feb 2013|
|Date of revision:||May 2014|
|Publication status:||Published in International Journal of Theoretical and Applied Finance, 2015, vol. 18(01), 155005|
|Contact details of provider:|| Web page: http://arxiv.org/|
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