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

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Abstract

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.

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Authors and Affiliations

  1. Department of Statistics, University of Warwick, Coventry, UK

    Aleksandar Mijatović

  2. Institute of Mathematical Finance, Ulm University, Ulm, Germany

    Mikhail Urusov

Authors
  1. Aleksandar Mijatović
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  2. Mikhail Urusov
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Correspondence to Mikhail Urusov.

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Mijatović, A., Urusov, M. Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models. Finance Stoch 16, 225–247 (2012). https://doi.org/10.1007/s00780-010-0152-6

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  • DOI: https://doi.org/10.1007/s00780-010-0152-6

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