No arbitrage without semimartingales

DOI10.1214/08-AAP554MaRDI QIDQ1024894zbMATHOpenAlexFDO

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)

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)

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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Cited in

(36)

• Arbitrage and hedging in a non probabilistic framework
• Absence of arbitrage in a general framework
• Pricing by hedging and no-arbitrage beyond semimartingales
• A càdlàg rough path foundation for robust finance
• Arbitrage problems with reflected geometric Brownian motion
• Arbitrage possibilities in Bessel processes and their relations to local martingales
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• Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
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• No arbitrage and lead-lag relationships
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• Volatility measurement with pockets of extreme return persistence
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• No Arbitrage and General Semimartingales
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• No arbitrage and multiplicative special semimartingales
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• A study of the absence of arbitrage opportunities without calculating the risk-neutral probability
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