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

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  • Aleksandar Mijatović
  • Mikhail Urusov

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  • Aleksandar Mijatović & Mikhail Urusov, 2012. "Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models," Finance and Stochastics, Springer, vol. 16(2), pages 225-247, April.
    • Handle: RePEc:spr:finsto:v:16:y:2012:i:2:p:225-247
    DOI: 10.1007/s00780-010-0152-6
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    References listed on IDEAS

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    1. Robert Fernholz & Ioannis Karatzas & Constantinos Kardaras, 2005. "Diversity and relative arbitrage in equity markets," Finance and Stochastics, Springer, vol. 9(1), pages 1-27, January.
    2. Eckhard Platen, 2006. "A Benchmark Approach To Finance," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 131-151, January.
    3. Aleksandar Mijatovic & Mikhail Urusov, 2009. "On the Martingale Property of Certain Local Martingales," Papers 0905.3701, arXiv.org, revised Oct 2010.
    4. Freddy Delbaen & Walter Schachermayer, 1998. "A Simple Counterexample to Several Problems in the Theory of Asset Pricing," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 1-11, January.
    5. Daniel Fernholz & Ioannis Karatzas, 2010. "On optimal arbitrage," Papers 1010.4987, arXiv.org.
    6. Robert Fernholz & Ioannis Karatzas, 2005. "Relative arbitrage in volatility-stabilized markets," Annals of Finance, Springer, vol. 1(2), pages 149-177, November.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. David Criens, 2016. "Deterministic Criteria for the Absence and Existence of Arbitrage in Multi-Dimensional Diffusion Markets," Papers 1609.01621, arXiv.org, revised Dec 2017.
    2. David Criens & Mikhail Urusov, 2023. "Criteria for the absence of arbitrage in general diffusion markets," Papers 2306.11470, arXiv.org, revised Sep 2024.
    3. Sascha Desmettre & Gunther Leobacher & L. C. G. Rogers, 2021. "Change of drift in one-dimensional diffusions," Finance and Stochastics, Springer, vol. 25(2), pages 359-381, April.
    4. Claudio Fontana, 2015. "Weak And Strong No-Arbitrage Conditions For Continuous Financial Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 1-34.
    5. Sascha Desmettre & Gunther Leobacher & L. C. G. Rogers, 2019. "Change of drift in one-dimensional diffusions," Papers 1910.11904, arXiv.org, revised Dec 2020.
    6. Yukihiro Tsuzuki, 2023. "Pitman's Theorem, Black-Scholes Equation, and Derivative Pricing for Fundraisers," Papers 2303.13956, arXiv.org.
    7. David Criens, 2018. "Deterministic Criteria For The Absence And Existence Of Arbitrage In Multi-Dimensional Diffusion Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-41, February.
    8. David Criens & Mikhail Urusov, 2022. "Separating Times for One-Dimensional General Diffusions," Papers 2211.06042, arXiv.org, revised Feb 2025.

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    More about this item

    Keywords

    Free lunch with vanishing risk; Generalised arbitrage; Relative arbitrage; One-dimensional diffusions; 60H10; 91B28; 91B70; C02; G19;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • G19 - Financial Economics - - General Financial Markets - - - Other

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