Kardaras, Constantinos 
ORCID: 0000-0001-6903-4506 and Platen, Eckhard
(2011)
On the semimartingale property of discounted asset-price processes.
Stochastic Processes and Their Applications, 121 (11).
pp. 2678-2691.
ISSN 0304-4149
Abstract
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.
| Item Type: | Article |
|---|---|
| Official URL: | https://www.journals.elsevier.com/stochastic-proce... |
| Additional Information: | © 2011 Elsevier B.V. |
| Divisions: | Statistics |
| Subjects: | Q Science > Q Science (General) |
| Date Deposited: | 30 Nov 2017 13:51 |
| Last Modified: | 13 Nov 2024 08:51 |
| URI: | http://eprints.lse.ac.uk/id/eprint/85895 |
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