No Arbitrage Condition for Positive Diffusion Price Processes View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2002-09

AUTHORS

Freddy Delbaen, Hiroshi Shirakawa

ABSTRACT

Using the Ray-Knight theorem we give conditions for anonnegative diffusion without drift to reach zero or not. These results also givenecessary and sufficient conditions for such a diffusion process to be a martingale (and notjust a local martinagle). We apply these results in order to give necessary and sufficientconditions for nonnegative diffusion to have equivalent local martingale measures. More... »

PAGES

159-168

Identifiers

URI

http://scigraph.springernature.com/pub.10.1023/a:1024173029378

DOI

http://dx.doi.org/10.1023/a:1024173029378

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1011402696


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