Abstract
We discuss conditions of absence of arbitrage in the classical sense (the “true” NA property) for the model given by a family of continuous value processes. In particular, we obtain a criterion for the NA property in a market model with countably many securities with continuous price processes. This result generalizes the well-known criteria due to Levental-Skorohod and Delbaen-Schachermayer.
Keywords
- Price Process
- Local Martingale
- Arbitrage Opportunity
- Predictable Process
- Stochastic Basis
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© 2005 Springer-Verlag Berlin/Heidelberg
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Kabanov, Y., Stricker, C. (2005). Remarks on the true No-arbitrage Property. In: Émery, M., Ledoux, M., Yor, M. (eds) Séminaire de Probabilités XXXVIII. Lecture Notes in Mathematics, vol 1857. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-31449-3_13
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DOI: https://doi.org/10.1007/978-3-540-31449-3_13
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Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-23973-4
Online ISBN: 978-3-540-31449-3
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