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

Aleksandar Mijatovi\'c and Mikhail Urusov

Papers from arXiv.org

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.

Date: 2010-05
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Citations: View citations in EconPapers (2)

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