WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS

Claudio Fontana ()
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Claudio Fontana: Laboratoire de Probabilités et Modèles Aléatoires, University Paris Diderot, avenue de France, 75205, Paris, France

International Journal of Theoretical and Applied Finance (IJTAF), 2015, vol. 18, issue 01, 1-34

Abstract: 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 opportunity (NA) and No Free Lunch with Vanishing Risk (NFLVR). We provide a complete characterization 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.

Keywords: Arbitrage; benchmark approach; continuous semimartingale; martingale deflator; market price of risk; arbitrage of the first kind; free lunch with vanishing risk (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (18)

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DOI: 10.1142/S0219024915500053

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