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

作者：Mijatovic Aleksandar; Urusov Mikhail^*

来源：Finance and Stochastics, 2012, 16(2): 225-247.

DOI：10.1007/s00780-010-0152-6

• Free lunch with vanishing risk
• Generalised arbitrage
• Relative arbitrage
• One-dimensional diffusions

We obtain a deterministic characterisation of the no free lunch with vanishing risk, the no generalised arbitrage and the no relative arbitrage conditions in the one-dimensional diffusion setting and examine how these notions of no-arbitrage relate to each other.

• 出版日期2012-4