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q-fin.MF2024
No arbitrage and the existence of ACLMMs in general diffusion models
David Criens, Mikhail Urusov
In a seminal paper, F. Delbaen and W. Schachermayer proved that the classical NA ("no arbitrage") condition implies the existence of an "absolutely continuous local martingale meas…
q-fin.MF2023
Criteria for the absence of arbitrage in general diffusion markets
David Criens, Mikhail Urusov
We establish deterministic necessary and sufficient conditions for the no-arbitrage notions NA ("no arbitrage"), NUPBR ("no unbounded profit with bounded risk") and NFLVR ("no free…