scholarly journals DETERMINISTIC CRITERIA FOR THE ABSENCE AND EXISTENCE OF ARBITRAGE IN MULTI-DIMENSIONAL DIFFUSION MARKETS

2018 ◽  
Vol 21 (01) ◽  
pp. 1850002 ◽  
Author(s):  
DAVID CRIENS
Keyword(s):  
Financial Markets ◽  
Local Martingale ◽  
Free Lunch ◽  
Martingale Measures ◽  
Dimensional Diffusion ◽  
Existence And Nonexistence ◽  
Risk Condition ◽  
Bounded Risk ◽  
No Free Lunch ◽  
Deterministic Criteria

We derive deterministic criteria for the existence and nonexistence of equivalent (local) martingale measures for financial markets driven by multi-dimensional time-inhomogeneous diffusions. Our conditions can be used to construct financial markets in which the no unbounded profit with bounded risk condition holds, while the classical no free lunch with vanishing risk condition fails.

scholarly journals WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS

2015 ◽  
Vol 18 (01) ◽  
pp. 1550005 ◽  
Author(s):  
CLAUDIO FONTANA
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Asset Price ◽  
Complete Characterization ◽  
Free Lunch ◽  
No Arbitrage ◽  
Price Process ◽  
Arbitrage Opportunity ◽  
No Free Lunch

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.

No Free Lunch: Free at Last!

2020 ◽  
pp. 217-225
Author(s):  
Ali Almashhadani ◽  
Neelang Parghi ◽  
Weihao Bi ◽  
Raman Kannan
Keyword(s):  
Free Lunch ◽  
No Free Lunch
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