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

DOI10.1007/s00780-010-0152-6zbMath1252.91078arXiv1005.1861MaRDI 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 diffusions; free lunch with vanishing risk; relative arbitrage; generalised arbitrage

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91B70: Stochastic models in economics

91G20: Derivative securities (option pricing, hedging, etc.)

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