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

被引：18
|
作者：
Acciaio, Beatrice [1 ]
Fontana, Claudio [2 ]
Kardaras, Constantinos [1 ]
机构：
[1] Univ London London Sch Econ & Polit Sci, Dept Stat, London WC2A 2AE, England
[2] Paris Diderot Univ, Lab Probabilites & Modeles Aldatoires, Paris, France
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2016年 / 126卷 / 06期
关键词：
Progressive enlargement of filtrations; Initial enlargement of filtrations; Arbitrage of the first kind; Martingale deflator; FUNDAMENTAL THEOREM;
D O I：
10.1016/j.spa.2015.12.004
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
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.
引用
收藏
页码：1761 / 1784
页数：24
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