On the semimartingale property of discounted asset-price processes
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Publication:719780
DOI10.1016/J.SPA.2011.06.010zbMATH Open1236.91128arXiv0803.1890OpenAlexW2131995856MaRDI QIDQ719780FDOQ719780
Authors: Constantinos Kardaras, Eckhard Platen 
Publication date: 11 October 2011
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, the semimartingale property is not assumed. Via a natural market viability assumption, namely, absence of arbitrages of the first kind, we establish that discounted asset-prices have to be semimartingales. In a slightly more specialized case, we extend the previous result in a weakened version of the Fundamental Theorem of Asset Pricing that involves strictly positive supermartingale deflators rather than Equivalent Martingale Measures.
Full work available at URL: https://arxiv.org/abs/0803.1890
Recommendations
arbitrage of the first kindsemimartingalessupermartingale deflatorsbuy-and-hold strategiesno-short-sales constraintsnuméraire portfolio
Portfolio theory (91G10) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) General theory of stochastic processes (60G07)
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Cited In (24)
- Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire
- Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
- Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to mathematical finance
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- Change of measure up to a random time: details
- Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
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