Arbitrage of the first kind and filtration enlargements in semimartingale financial models

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:126

Article

Acciaio, Beatrice¹  Fontana, Claudio²  Kardaras, Constantinos¹ 

[1] Univ London London Sch Econ & Polit Sci, Dept Stat, London WC2A 2AE, England

[2] Paris Diderot Univ, Lab Probabilites & Modeles Aldatoires, Paris, France

关键词: Progressive enlargement of filtrations;    Initial enlargement of filtrations;    Arbitrage of the first kind;    Martingale deflator;   

DOI  :  10.1016/j.spa.2015.12.004

来源: Elsevier

【 摘 要 】

In a general semimartingale financial model, we study the stability of the No Arbitrage of the First Kind (NA(1)) (or, equivalently, No Unbounded Profit with Bounded Risk) condition under initial and under progressive filtration enlargements. In both cases, we provide a simple and general condition which is sufficient to ensure this stability for any fixed semimartingale model. Furthermore, we give a characterisation of the NA(1) stability for all semimartingale models. (C) 2015 Elsevier B.V. All rights reserved.

【 授权许可】

Free