No Arbitrage Without Semimartingales

By Robert A. Jarrow, Philip Protter, Hasanjan Sayit. 2009

55 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/8c66c2389b1cfcccbbb7dac75e6987f705e00dca

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Christian Bender
2. Tommi Sottinen
3. Esko Valkeila
4. Joachim Lebovits
5. Frederi G. Viens
6. David Nualart
7. Oana Mocioalca
8. Patrick Cheridito

In Finance

1. Christian Bender
2. Tommi Sottinen
3. Esko Valkeila
4. David Nualart
5. Joachim Lebovits
6. Jessica Steiner
7. Frederi G. Viens
8. Oana Mocioalca

In Management Science and Operations Research

1. Christian Bender

Citations in the corpus

• Fractional Processes as Models in Stochastic Finance (2010, background): “Then the following two conditions are equivalent: (i) For each ε > 0 there exists an ε-consistent price system.”