The no-arbitrage property is widely accepted to be a centerpiece of modern financial mathematics and could be considered to be a financial law applicable to a large class of (idealized) markets. This paper addresses the following basic question: can one characterize the class of transformations that leave the law of no-arbitrage invariant? We provide a geometric formalization of this question in a non probabilistic setting of discrete time-the so-called trajectorial models. The paper then characterizes, in a local sense, the no-arbitrage symmetries and illustrates their meaning with a detailed example. Our context makes the result available to the stochastic setting as a special case.
Iván DEGANO
,
Sebastián FERRANDO
,
Alfredo GONZÁLEZ
. NO-ARBITRAGE SYMMETRIES[J]. Acta mathematica scientia, Series B, 2022
, 42(4)
: 1373
-1402
.
DOI: 10.1007/s10473-022-0407-2
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