DETERMINISTIC CRITERIA FOR THE ABSENCE AND EXISTENCE OF ARBITRAGE IN MULTI-DIMENSIONAL DIFFUSION MARKETS-Reference-Cited by-同舟云学术

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

Published:2018-02 Issue:01 Volume:21 Page:1850002
ISSN:0219-0249
Container-title:International Journal of Theoretical and Applied Finance
language:en
Short-container-title:Int. J. Theor. Appl. Finan.

Author:

CRIENS DAVID¹

Affiliation:

1. Department of Mathematics, Technical University of Munich, Munich 80333, Germany

Abstract

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.

Publisher

World Scientific Pub Co Pte Lt

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219024918500024

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