NO ARBITRAGE WITHOUT SEMIMARTINGALES

• 成果类型: Article
• 署名作者: Jarrow, Robert A.; Protter, Philip; Sayit, Hasanjan
• 署名单位: Cornell University; Cornell University; Worcester Polytechnic Institute
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/08-AAP554
• 发表日期: 2009
• 页码: 596-616
• 关键词: fundamental theorem

摘要

We show that with suitable restrictions on allowable trading strategies, one has no arbitrage in settings where the traditional theory would admit arbitrage possibilities. In particular, price processes that are not semimartingales are possible in our setting, for example, fractional Brownian motion.