2000 character limit reached
Weak and strong no-arbitrage conditions for continuous financial markets (1302.7192v2)
Published 28 Feb 2013 in q-fin.PR and math.PR
Abstract: We propose a unified analysis of a whole spectrum of no-arbitrage conditions for financial market models based on continuous semimartingales. In particular, we focus on no-arbitrage conditions weaker than the classical notions of No Arbitrage and No Free Lunch with Vanishing Risk. We provide a complete characterisation of the considered no-arbitrage conditions, linking their validity to the characteristics of the discounted asset price process and to the existence and the properties of (weak) martingale deflators, and review classical as well as recent results.