No arbitrage without semimartingales

Robert A. Jarrow; Philip Protter; Hasanjan Sayit

doi:10.1214/08-AAP554

No arbitrage without semimartingales

Robert A. Jarrow, Philip Protter, Hasanjan Sayit^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

27 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 language	English
Pages (from-to)	596-616
Number of pages	21
Journal	Annals of Applied Probability
Volume	19
Issue number	2
DOIs	https://doi.org/10.1214/08-AAP554
Publication status	Published - Apr 2009
Externally published	Yes

Keywords

Arbitrage
Fractional Brownian motion
Simple trading strategies
Time change.

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10.1214/08-AAP554

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title = "No arbitrage without semimartingales",

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.",

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KW - Fractional Brownian motion

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KW - Time change.

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No arbitrage without semimartingales

Abstract

Keywords

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