No arbitrage conditions for simple trading strategies
AbstractStrict local martingales may admit arbitrage opportunities with respect to the class of simple trading strategies. (Since there is no possibility of using doubling strategies in this framework, the losses are not assumed to be bounded from below.) We show that for a class of non-negative strict local martingales, the strong Markov property implies the no arbitrage property with respect to the class of simple trading strategies. This result can be seen as a generalization of a similar result on three dimensional Bessel process in . We also pro- vide no arbitrage conditions for stochastic processes within the class of simple trading strategies with shortsale restriction.
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Bibliographic InfoArticle provided by Springer in its journal Annals of Finance.
Volume (Year): 6 (2010)
Issue (Month): 1 (January)
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Web page: http://www.springerlink.com/link.asp?id=112370
Simple trading strategies; Arbitrage; Sticky processes; Shortsales restriction; G10;
Other versions of this item:
- Erhan Bayraktar & Hasanjan Sayit, 2008. "No Arbitrage Conditions For Simple Trading Strategies," Papers 0801.4047, arXiv.org, revised Jan 2009.
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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