The Library
Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models
Tools
Tools
Tools
Mijatović, Aleksandar and Urusov, Mikhail. (2012) Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models. Finance and Stochastics, Vol.16 (No.2). pp. 225-247. ISSN 0949-2984
Full text not available from this repository.
Official URL: http://dx.doi.org/10.1007/s00780-010-0152-6
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.
| Item Type: | Journal Article |
|---|---|
| Subjects: | H Social Sciences > HA Statistics |
| Divisions: | Faculty of Science > Statistics |
| Journal or Publication Title: | Finance and Stochastics |
| Publisher: | Springer |
| ISSN: | 0949-2984 |
| Date: | April 2012 |
| Volume: | Vol.16 |
| Number: | No.2 |
| Page Range: | pp. 225-247 |
| Identification Number: | 10.1007/s00780-010-0152-6 |
| Status: | Peer Reviewed |
| Publication Status: | Published |
| Access rights to Published version: | Restricted or Subscription Access |
| URI: | http://wrap.warwick.ac.uk/id/eprint/44732 |
Actions (login required)
 |
View Item |
