No arbitrage without semimartingales
Probability
2009-06-15 v1
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.
Cite
@article{arxiv.0906.2318,
title = {No arbitrage without semimartingales},
author = {Robert A. Jarrow and Philip Protter and Hasanjan Sayit},
journal= {arXiv preprint arXiv:0906.2318},
year = {2009}
}
Comments
Published in at http://dx.doi.org/10.1214/08-AAP554 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)