Journal Article

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

Finance and Stochastics (2012) 16(2) 225-247
DOI: 10.1007/s00780-010-0152-6
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Abstract

We obtain a deterministic characterisation of the no free lunch with vanishing risk, the no generalised arbitrage and the no relative arbitrage conditions in the one-dimensional diffusion setting and examine how these notions of no-arbitrage relate to each other. © 2010 Springer-Verlag.

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Mijatović, A., & Urusov, M. (2012). Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models. Finance and Stochastics, 16(2), 225–247. https://doi.org/10.1007/s00780-010-0152-6

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