Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models
arXiv:1005.1861
Abstract
We obtain a deterministic characterisation of the \emph{no free lunch with vanishing risk}, the \emph{no generalised arbitrage} and the \emph{no relative arbitrage} conditions in the one-dimensional diffusion setting and examine how these notions of no-arbitrage relate to each other.
20 pages; most results in this paper were contained in the first version of submission 0905.3701; to appear in Finance & Stochastics