Work

Weak and Strong No-arbitrage Conditions for Continuous Financial Markets

Year: 2015

Type: article

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 opportunity (NA) and No Free Lunch with Vanishing Risk (NFLVR). We provide a complete characterization 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.

Source: International Journal of Theoretical and Applied Finance

DOI: 10.1142/s0219024915500053

Author: CLAUDIO FONTANA

Institutions: Laboratoire de Probabilités et Modèles Aléatoires, Université Paris Diderot

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2121628958

FWCI: 12.76

Cites: 105

Cited by: 42

Related to: 10