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.
Publié le : 2009-04-15
Classification:
Arbitrage,
simple trading strategies,
fractional Brownian motion,
time change,
60G15,
60K30,
91B28
@article{1241702243,
author = {Jarrow, Robert A. and Protter, Philip and Sayit, Hasanjan},
title = {No arbitrage without semimartingales},
journal = {Ann. Appl. Probab.},
volume = {19},
number = {1},
year = {2009},
pages = { 596-616},
language = {en},
url = {http://dml.mathdoc.fr/item/1241702243}
}
Jarrow, Robert A.; Protter, Philip; Sayit, Hasanjan. No arbitrage without semimartingales. Ann. Appl. Probab., Tome 19 (2009) no. 1, pp. 596-616. http://gdmltest.u-ga.fr/item/1241702243/