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On the semimartingale property of discounted asset-price processes

Kardaras, Constantinos 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

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Identification Number: 10.1016/j.spa.2011.06.010

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)
Sets: Departments > Statistics
Date Deposited: 30 Nov 2017 13:51
Last Modified: 30 Jan 2019 18:41
URI: http://eprints.lse.ac.uk/id/eprint/85895

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