Weak and strong no-arbitrage conditions for continuous financial markets

Claudio Fontana

Papers from arXiv.org

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 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: 2013-02, Revised 2014-05
New Economics Papers: this item is included in nep-fmk
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Published in International Journal of Theoretical and Applied Finance, 2015, vol. 18(01), 155005

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1302.7192

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