No arbitrage without semimartingales

DOI10.1214/08-AAP554zbMATH Open1172.60027arXiv0906.2318OpenAlexW3098436985MaRDI QIDQ1024894FDOQ1024894

Robert A. Jarrow, Philip Protter, Hasanjan Sayit

Publication date: 17 June 2009

Published in: The Annals of Applied Probability (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/0906.2318

zbMATH Keywords

fractional Brownian motionarbitragetime changesimple trading strategies

Mathematics Subject Classification ID

Gaussian processes (60G15) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited In (25)

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• Pricing of equity indexed annuity under fractional Brownian motion model
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• No-arbitrage symmetries
• No-arbitrage conditions and pricing from discrete-time to continuous-time strategies
• Stochastic Averaging Principle for Mixed Stochastic Differential Equations
• Testing long memory based on a discretely observed process
• Volatility measurement with pockets of extreme return persistence
• A càdlàg rough path foundation for robust finance
• Title not available (Why is that?)
• Local martingales, arbitrage, and viability. Free snacks and cheap thrills
• Absence of arbitrage in a general framework
• No arbitrage and lead-lag relationships
• Stochastic viability and comparison theorems for mixed stochastic differential equations
• On stochastic calculus related to financial assets without semimartingales
• No arbitrage conditions for simple trading strategies
• Simple arbitrage
• Indirect inference in fractional short-term interest rate diffusions
• Arbitrage and hedging in a non probabilistic framework
• Arbitrage possibilities in Bessel processes and their relations to local martingales
• Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
• Characterization of arbitrage-free markets
• Remarks on simple arbitrage on markets with bid and ask prices
• Conditional Full Support of Gaussian Processes with Stationary Increments
• On the stickiness property

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