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

Published 11 May 2010 in q-fin.GN and math.PR | (1005.1861v1)

Abstract: We obtain a deterministic characterisation of the \emph{no free lunch with vanishing risk}, the \emph{no generalised arbitrage} and the \emph{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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