Absence of arbitrage in a general framework

DOI10.1007/S10436-012-0207-0zbMATH Open1298.91088OpenAlexW2039486957MaRDI QIDQ470679FDOQ470679

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

Recommendations

• No arbitrage without semimartingales
• Arbitrage in fractional Brownian motion models
• Arbitrage for simple strategies
• Conditions of presence and absence of arbitrage for a model of \((B,S)\)-market defined by fractional Brownian motion
• Arbitrage and hedging in a non probabilistic framework

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)

Cites Work

• Long-Term Memory in Stock Market Prices
• A general version of the fundamental theorem of asset pricing
• Arbitrage in fractional Brownian motion models
• Title not available (Why is that?)
• Arbitrage with Fractional Brownian Motion
• Fractional processes as models in stochastic finance
• Fractional Brownian motion, random walks and binary market models
• The fundamental theorem of asset pricing for continuous processes under small transaction costs
• Consistent price systems and face-lifting pricing under transaction costs
• Stock market prices and long-range dependence
• Pricing by hedging and no-arbitrage beyond semimartingales
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• Stochastic integrals and conditional full support
• Arbitrage-free models in markets with transaction costs
• Consistent price systems for bounded processes
• Conditional full support of Gaussian processes with stationary increments
• Consistent price systems in multiasset markets
• Brownian moving averages have conditional full support
• No arbitrage without semimartingales
• Equivalent martingale measures and no-arbitrage
• No arbitrage conditions for simple trading strategies
• Simple arbitrage

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

This page was built for publication: Absence of arbitrage in a general framework

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q470679)