Scholarlink

<p>We establish deterministic necessary and sufficient conditions for the no-arbitrage notions NA (“no arbitrage”), NUPBR (“no unbounded profit with bounded risk”) and NFLVR (“no free lunch with vanishing risk”) in one-dimensional general diffusion market models with finite and infinite time horizons. These are models whose (discounted) single risky asset price process <InlineEquation ID="IEq1"> <EquationSource Format="MATHML"><math> <mi>S</mi> </math></EquationSource> <EquationSource Format="TEX">$S$</EquationSource> </InlineEquation> is a regular continuous strong Markov process that is also a semimartingale. We further characterise the existence of an equivalent martingale measure in such models. All deterministic criteria are provided in terms of the scale function and the speed measure of&#xa0;<InlineEquation ID="IEq2"> <EquationSource Format="MATHML"><math> <mi>S</mi> </math></EquationSource> <EquationSource Format="TEX">$S$</EquationSource> </InlineEquation>.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Criteria for the absence of arbitrage in one-dimensional general diffusion markets

  • 期刊论文

  • 出版模式：

    开放获取

  • 发表日期：

    2026年5月21日

查看全文
  • David Criens,
  • Mikhail Urusov

摘要

We establish deterministic necessary and sufficient conditions for the no-arbitrage notions NA (“no arbitrage”), NUPBR (“no unbounded profit with bounded risk”) and NFLVR (“no free lunch with vanishing risk”) in one-dimensional general diffusion market models with finite and infinite time horizons. These are models whose (discounted) single risky asset price process S $S$ is a regular continuous strong Markov process that is also a semimartingale. We further characterise the existence of an equivalent martingale measure in such models. All deterministic criteria are provided in terms of the scale function and the speed measure of  S $S$ .