Deterministic Criteria for the Absence and Existence of Arbitrage in Multi-Dimensional Diffusion Markets

David Criens

Papers from arXiv.org

Abstract: We derive deterministic criteria for the existence and non-existence of equivalent (local) martingale measures for financial markets driven by multi-dimensional time-inhomogeneous diffusions. Our conditions can be used to construct financial markets in which the \emph{no unbounded profit with bounded risk} condition holds, while the classical \emph{no free lunch with vanishing risk} condition fails.

Date: 2016-09, Revised 2017-12
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1609.01621 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1609.01621

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().