No arbitrage without semimartingales

No arbitrage without semimartingales

Robert A. Jarrow, Philip Protter, and Hasanjan Sayit

Source: Ann. Appl. Probab. Volume 19, Number 2 (2009), 596-616.

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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Primary Subjects: 60G15, 60K30, 91B28

Keywords: Arbitrage; simple trading strategies; fractional Brownian motion; time change

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Links and Identifiers

Permanent link to this document: http://projecteuclid.org/euclid.aoap/1241702243
Digital Object Identifier: doi:10.1214/08-AAP554
Zentralblatt MATH identifier: 05566093
Mathematical Reviews number (MathSciNet): MR2521881

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