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No Arbitrage and General Semimartingales

Philip Protter and Kazuhiro Shimbo

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Abstract

No free lunch with vanishing risk (NFLVR) is known to be equivalent to the existence of an equivalent martingale measure for the price process semimartingale. We give necessary conditions for such a semimartingale to have the property NFLVR. We also extend Novikov’s criterion for the stochastic exponential of a local martingale to be a martingale to the general case; that is, the case where the paths need not be continuous.

Chapter information

Source
Stewart N. Ethier, Jin Feng and Richard H. Stockbridge, eds., Markov Processes and Related Topics: A Festschrift for Thomas G. Kurtz (Beachwood, Ohio, USA: Institute of Mathematical Statistics, 2008), 267-283

Dates
First available in Project Euclid: 28 January 2009

Permanent link to this document
https://projecteuclid.org/euclid.imsc/1233152947

Digital Object Identifier
doi:10.1214/074921708000000426

Zentralblatt MATH identifier
1179.60022

Rights
Copyright © 2008, Institute of Mathematical Statistics

Citation

Protter, Philip; Shimbo, Kazuhiro. No Arbitrage and General Semimartingales. Markov Processes and Related Topics: A Festschrift for Thomas G. Kurtz, 267--283, Institute of Mathematical Statistics, Beachwood, Ohio, USA, 2008. doi:10.1214/074921708000000426. https://projecteuclid.org/euclid.imsc/1233152947


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