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No arbitrage conditions for simple trading strategies


Author Info

  • Erhan Bayraktar


  • Hasanjan Sayit



Strict 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 [3]. 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 Info

Article provided by Springer in its journal Annals of Finance.

Volume (Year): 6 (2010)
Issue (Month): 1 (January)
Pages: 147-156

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Handle: RePEc:kap:annfin:v:6:y:2010:i:1:p:147-156

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Related research

Keywords: Simple trading strategies; Arbitrage; Sticky processes; Shortsales restriction; G10;

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  1. Freddy Delbaen & Walter Schachermayer, 1994. "Arbitrage And Free Lunch With Bounded Risk For Unbounded Continuous Processes," Mathematical Finance, Wiley Blackwell, vol. 4(4), pages 343-348.
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Cited by:
  1. Christian Bender, 2012. "Simple arbitrage," Papers 1210.5391,
  2. Constantinos Kardaras & Eckhard Platen, 2008. "On the semimartingale property of discounted asset-price processes," Papers 0803.1890,, revised Nov 2009.
  3. Hasanjan Sayit, 2013. "Absence of arbitrage in a general framework," Annals of Finance, Springer, vol. 9(4), pages 611-624, November.
  4. Erhan Bayraktar & Hasanjan Sayit, 2008. "On the Stickiness Property," Papers 0801.0718,, revised Sep 2009.


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