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- W2511897434 abstract "We derive abstract as well as deterministic conditions for the absence and existence of free lunch with vanishing risk, arbitrage, generalized arbitrage, and unbounded profit with bounded risk in a general multidimensional diffusion framework. Moreover, we give conditions for the absence and presence of financial bubbles. In particular, we provide criteria for the (strict local) martingale property of certain stochastic exponentials. As an application, we illustrate the influence of the market dimension, i.e. the number of stocks in the market, on free lunch with vanishing risk and generalized arbitrage. Our proofs are based on explosion criteria for martingale problems, local measure changes, and comparison arguments." @default.
- W2511897434 created "2016-09-16" @default.
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- W2511897434 date "2016-09-06" @default.
- W2511897434 modified "2023-09-23" @default.
- W2511897434 title "Criteria for the Absence and Existence of Arbitrage in Multi-Dimensional Diffusion Markets" @default.
- W2511897434 hasPublicationYear "2016" @default.
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