A study of the absence of arbitrage opportunities without calculating the risk-neutral probability

DOI10.1515/ausm-2016-0013zbMath1368.91164OpenAlexW2584807545MaRDI QIDQ508631

Yong-Cai Geng, Sumit K. Garg

Publication date: 7 February 2017

Published in: Acta Universitatis Sapientiae. Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/ausm-2016-0013

zbMATH Keywords

Ornstein-Uhlenbeck processconditional full supportabsence of arbitrage opportunities

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Portfolio theory (91G10)

Cites Work

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• Brownian moving averages have conditional full support
• On the diversity of equity markets
• Diversity and relative arbitrage in equity markets
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• Consistent price systems and face-lifting pricing under transaction costs
• Diversity and No Arbitrage
• Conditional Full Support of Gaussian Processes with Stationary Increments
• Equivalent martingale measures and no-arbitrage
• Stochastic Integrals and Conditional Full Support
• Abstract Wiener processes and their reproducing Kernel Hilbert spaces
• Equity portfolios generated by functions of ranked market weights

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