Weak and strong no-arbitrage conditions for continuous financial markets

Abstract

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 and No Free Lunch with Vanishing Risk. We provide a complete characterisation 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.

28 pages

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• On arbitrages arising from honest times
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• An alternative proof of a result of Takaoka

Cited by in corpus (9)

• On arbitrages arising from honest times
• On the existence of sure profits via flash strategies
• A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing
• No arbitrage and multiplicative special semimartingales
• Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models
• Arbitrage concepts under trading restrictions in discrete-time financial markets
• Arbitrage and utility maximization in market models with an insider
• Market models with optimal arbitrage
• Who would invest only in the risk-free asset?