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

DOI10.1007/s00780-010-0152-6zbMath1252.91078arXiv1005.1861OpenAlexW2168252697MaRDI QIDQ1761439

Aleksandar Mijatović, Mikhail A. Urusov

Publication date: 15 November 2012

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.1861

zbMATH Keywords

one-dimensional diffusionsfree lunch with vanishing riskrelative arbitragegeneralised arbitrage

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

No arbitrage in continuous financial markets ⋮ INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS ⋮ ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS ⋮ DETERMINISTIC CRITERIA FOR THE ABSENCE AND EXISTENCE OF ARBITRAGE IN MULTI-DIMENSIONAL DIFFUSION MARKETS ⋮ A NOTE ON REAL-WORLD AND RISK-NEUTRAL DYNAMICS FOR HEATH–JARROW–MORTON FRAMEWORKS ⋮ Change of drift in one-dimensional diffusions ⋮ Beta-arbitrage strategies: when do they work, and why? ⋮ On absolute continuity and singularity of multidimensional diffusions ⋮ A Note on a Paper by Wong and Heyde ⋮ WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the martingale property of certain local martingales
• Relative arbitrage in volatility-stabilized markets
• On optimal arbitrage
• The fundamental theorem of asset pricing for unbounded stochastic processes
• A general version of the fundamental theorem of asset pricing
• No arbitrage condition for positive diffusion price processes
• Singular stochastic differential equations.
• Diversity and relative arbitrage in equity markets
• Arbitrage possibilities in Bessel processes and their relations to local martingales
• The numéraire portfolio in semimartingale financial models
• The mathematics of arbitrage
• A benchmark approach to quantitative finance
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part III)
• Spline Cubatures for Expectations of Diffusion Processes and Optimal Stopping in Higher Dimensions (with Computational Finance in View)
• Stochastic Portfolio Theory: an Overview
• A Simple Counterexample to Several Problems in the Theory of Asset Pricing
• Separating Times for Measures on Filtered Spaces
• HEDGING UNDER ARBITRAGE
• General Arbitrage Pricing Model: I – Probability Approach