No arbitrage without semimartingales
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Publication:1024894
DOI10.1214/08-AAP554zbMATH Open1172.60027arXiv0906.2318OpenAlexW3098436985MaRDI QIDQ1024894FDOQ1024894
Authors: Robert A. Jarrow, Hasanjan Sayit, Philip Protter 
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
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Cited In (32)
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- No-arbitrage conditions and pricing from discrete-time to continuous-time strategies
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- Volatility measurement with pockets of extreme return persistence
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- A study of the absence of arbitrage opportunities without calculating the risk-neutral probability
- Characterization of arbitrage-free markets
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- On the stickiness property
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