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Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models
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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. doi:10.1007/s00780-010-0152-6 ISSN 0949-2984.
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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 | ||||
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Subjects: | H Social Sciences > HA Statistics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Journal or Publication Title: | Finance and Stochastics | ||||
Publisher: | Springer | ||||
ISSN: | 0949-2984 | ||||
Official Date: | April 2012 | ||||
Dates: |
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Volume: | Vol.16 | ||||
Number: | No.2 | ||||
Page Range: | pp. 225-247 | ||||
DOI: | 10.1007/s00780-010-0152-6 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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