On the semimartingale property of discounted asset-price processes

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:121

Article

Kardaras, Constantinos¹  Platen, Eckhard^2,3 

[1] Boston Univ, Dept Math & Stat, Boston, MA 02215 USA

[2] Univ Technol Sydney, Sch Finance & Econ, Broadway, NSW 2007, Australia

[3] Univ Technol Sydney, Dept Math Sci, Broadway, NSW 2007, Australia

关键词: Numeraire portfolio;    Semimartingales;    Buy-and-hold strategies;    No-short-sales constraints;    Arbitrage of the first kind;    Supermartingale deflators;   

DOI  :  10.1016/j.spa.2011.06.010

来源: Elsevier

【 摘 要 】

A financial market model where agents trade using realistic combinations of simple (i.e., finite combinations of buy-and-hold) no-short-sales 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 arbitrage of the first kind, we establish that discounted asset-prices have to be semimartingales. Our main result can also be regarded as reminiscent of the Fundamental Theorem of Asset Pricing. (C) 2011 Elsevier B.V. All rights reserved.

【 授权许可】

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