Absence of arbitrage in a general framework

DOI10.1007/S10436-012-0207-0MaRDI QIDQ470679zbMATH OpenOpenAlexFDO

Authors Hasanjan Sayit

Publication date 12 November 2014

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-012-0207-0

zbMATH Keywords

absence of arbitrageconditional full supportnon-semimartingale modelssimple trading strategies

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Martingales with continuous parameter (60G44) Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

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• No arbitrage without semimartingales
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Cites work

• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• A general version of the fundamental theorem of asset pricing
• Arbitrage in fractional Brownian motion models
• Arbitrage with Fractional Brownian Motion
• Arbitrage-free models in markets with transaction costs
• Brownian moving averages have conditional full support
• Conditional full support of Gaussian processes with stationary increments
• Consistent price systems and face-lifting pricing under transaction costs
• Consistent price systems for bounded processes
• Consistent price systems in multiasset markets
• Equivalent martingale measures and no-arbitrage
• Fractional Brownian motion, random walks and binary market models
• Fractional processes as models in stochastic finance
• Long-Term Memory in Stock Market Prices
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• No arbitrage conditions for simple trading strategies
• No arbitrage without semimartingales
• Pricing by hedging and no-arbitrage beyond semimartingales
• Simple arbitrage
• Stochastic integrals and conditional full support
• Stock market prices and long-range dependence
• The fundamental theorem of asset pricing for continuous processes under small transaction costs

Cited in

(8)

• No-arbitrage conditions and pricing from discrete-time to continuous-time strategies
• A financial market with singular drift and no arbitrage
• No arbitrage and lead-lag relationships
• No arbitrage conditions for simple trading strategies
• Simple arbitrage
• Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR
• Arbitrage without borrowing or short selling?
• No Arbitrage Theory for Bond Markets

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