No unbounded arbitrage, weak no market arbitrage and no arbitrage price system conditions; Equivalent conditions
نویسندگان
چکیده
منابع مشابه
Weak and strong no-arbitrage conditions for continuous financial markets
We propose a uni ed analysis of a whole spectrum of no-arbitrage conditions for nancial market models based on continuous semimartingales. In particular, we focus on no-arbitrage conditions weaker than the classical notions of No Arbitrage and No Free Lunch with Vanishing Risk. We provide a complete characterisation of all no-arbitrage conditions, linking their validity to the existence and to ...
متن کاملNo Arbitrage Conditions For Simple Trading Strategies
Strict local martingales may admit arbitrage opportunities with respect to the class of simple trading strategies. (Since there is no possibility of using doubling strategies in this framework, the losses are not assumed to be bounded from below.) We show that for a class of non-negative strict local martingales, the strong Markov property implies the no arbitrage property with respect to the c...
متن کاملNo-Dynamic-Arbitrage and Market Impact
Starting from a no-dynamic-arbitrage principle that imposes that trading costs should be non-negative on average and a simple model for the evolution of market prices, we demonstrate a relationship between the shape of the market impact function describing the average response of the market price to traded quantity and the function that describes the decay of market impact. In particular, we sh...
متن کاملNo Arbitrage without Semimartingales
We show that with suitable restrictions on allowable trading strategies, one has no arbitrage in settings where the traditional theory would admit arbitrage possibilities. In particular, price processes that are not semimartingales are possible in our setting, for example fractional Brownian motion.
متن کاملNo-arbitrage conditions and absolutely continuous changes of measure
We study the stability of several no-arbitrage conditions with respect to absolutely continuous, but not necessarily equivalent, changes of measure. We rst consider models based on continuous semimartingales and show that no-arbitrage conditions weaker than NA and NFLVR are always stable. Then, in the context of general semimartingale models, we show that an absolutely continuous change of meas...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Mathematical Economics
سال: 2010
ISSN: 0304-4068
DOI: 10.1016/j.jmateco.2009.05.003