No arbitrage without semimartingales

Robert A. Jarrow, Philip Protter, Hasanjan Sayit*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

25 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)596-616
Number of pages21
JournalAnnals of Applied Probability
Volume19
Issue number2
DOIs
Publication statusPublished - Apr 2009
Externally publishedYes

Keywords

  • Arbitrage
  • Fractional Brownian motion
  • Simple trading strategies
  • Time change.

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