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No Arbitrage Condition for Positive Diffusion Price Processes · Study

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ArticleNo Arbitrage Condition for Positive Diffusion Price Processes

Freddy Delbaen2002

Article2002

No Arbitrage Condition for Positive Diffusion Price Processes

Freddy Delbaen · Hiroshi Shirakawa

66 citations·0/0 files stored·Asia-Pacific Financial Markets

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Stochastic processes and financial applications Financial Markets and Investment Strategies Stochastic processes and statistical mechanics

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References

1999Continuous Martingales and Brownian Motion 1983Stochastic Differential Equations and Diffusion Processes 2003Stochastic Differential Equations 1991Continuous Martingales and Brownian Motion 1981Stochastic Differential Equations and Diffusion Processes

Cited by

2004On the martingale property of stochastic exponentials 2015Strict local martingales and bubbles 2015WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS 2012Convergence of integral functionals of one-dimensional diffusions 2010A characterization of the martingale property of exponentially affine processes 2012A new proof for the conditions of Novikov and Kazamaki 2014ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME‐HOMOGENEOUS DIFFUSIONS 2011Optimal Trading Strategies Under Arbitrage

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Year2002

Typearticle

Published2002-09-01

VenueAsia-Pacific Financial Markets

ISSN-L1380-2011

Languageen

Citations66

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1024173029378

openalex_workW30805069

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