Acciaio, Beatrice, Fontana, Claudio and Kardaras, Constantinos 
ORCID: 0000-0001-6903-4506
(2016)
Arbitrage of the first kind and filtration enlargements in semimartingale financial models.
Stochastic Processes and Their Applications, 126 (6).
pp. 1761-1784.
ISSN 0304-4149
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Abstract
In a general semimartingale financial model, we study the stability of the No Arbitrage of the First Kind (View the MathML sourceNA1) (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 View the MathML sourceNA1 stability for all semimartingale models.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.journals.elsevier.com/stochastic-proces... |
| Additional Information: | © 2015 Elsevier B.V. |
| Divisions: | Statistics |
| Subjects: | H Social Sciences > HG Finance Q Science > QA Mathematics |
| Date Deposited: | 26 Jan 2016 11:42 |
| Last Modified: | 01 Oct 2024 03:43 |
| Projects: | PIEF-GA-2012-332345, PIEF-GA-2012-332345 |
| Funders: | 7th European Community Framework Programme, Seventh Framework Programme |
| URI: | http://eprints.lse.ac.uk/id/eprint/65150 |
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