No Arbitrage Criteria for Exponential L évy Models. A.V. Selivanov Moscow State University. Financial Mathematics. 3 ”columns” (Z. Bodie, R.C. Merton ”Finance”) :. air. Mathematical : A – set of incomes. No Free Lunch (NFL) (J.M. Harrison, D.M. Kreps 1979). Concept of No Arbitrage.
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A.V. SelivanovMoscow State University
3 ”columns” (Z. Bodie, R.C. Merton ”Finance”):
The definition is given by T. Goll and J. Kallsen
absence of arbitrage
completeness of the model
uniqueness of the measure
L – nonzero Lévy process – independent increasing non-constant process
Suppose that P-a.s.
NFLVR is satisfied;NGA is not satisfied
We have obtained: