No-arbitrage under additional information for thin semimartingale models

DOI10.1016/J.SPA.2018.09.005zbMATH Open1479.60083arXiv1505.00997OpenAlexW2963694450MaRDI QIDQ2274293FDOQ2274293

Monique Jeanblanc, Tahir Choulli, Jun Deng, Anna Aksamit

Publication date: 19 September 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: This paper completes the two studies undertaken in cite{aksamit/choulli/deng/jeanblanc2} and cite{aksamit/choulli/deng/jeanblanc3}, where the authors quantify the impact of a random time on the No-Unbounded-Risk-with-Bounded-Profit concept (called NUPBR hereafter) when the stock price processes are quasi-left-continuous (do not jump on predictable stopping times). Herein, we focus on the NUPBR for semimartingales models that live on thin predictable sets only and the progressive enlargement with a random time. For this flow of information, we explain how far the NUPBR property is affected when one stops the model by an arbitrary random time or when one incorporates fully an honest time into the model. This also generalizes cite{choulli/deng} to the case when the jump times are not ordered in anyway. Furthermore, for the current context, we show how to construct explicitly local martingale deflator under the bigger filtration from those of the smaller filtration.

Full work available at URL: https://arxiv.org/abs/1505.00997

zbMATH Keywords

local martingale deflatorarbitragehonest timeprogressive enlargement of filtrationrandom horizonno-unbounded-profit-with-bounded-riskthin semimartingales

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial science and mathematical finance (91G99)

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Cited In (5)

• Log-optimal and numéraire portfolios for market models stopped at a random time
• Structure Conditions under Progressively Added Information
• Explicit description of all deflators for market models under random horizon with applications to NFLVR
• No arbitrage without semimartingales
• No arbitrage and multiplicative special semimartingales

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