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No arbitrage for a special class of filtration expansions

Author

Listed:
  • Karen Grigorian

    (Cornell University)

  • Robert A. Jarrow

    (Cornell University)

Abstract

This paper provides a set of sufficient conditions for special classes of filtration expansions, such that the expanded information introduces no new arbitrage opportunities into a market. The information expansion corresponds to knowledge of the “true” price process. The theorem is based on comparing two distinct markets—the original and a fictitious—each associated with a different filtration, and employs the first fundamental theorem of asset pricing in both of these two markets.

Suggested Citation

  • Karen Grigorian & Robert A. Jarrow, 2025. "No arbitrage for a special class of filtration expansions," Annals of Finance, Springer, vol. 21(1), pages 45-68, March.
    • Handle: RePEc:kap:annfin:v:21:y:2025:i:1:d:10.1007_s10436-024-00458-1
    DOI: 10.1007/s10436-024-00458-1
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    References listed on IDEAS

    as
    1. Koichiro Takaoka & Martin Schweizer, 2014. "A note on the condition of no unbounded profit with bounded risk," Finance and Stochastics, Springer, vol. 18(2), pages 393-405, April.
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    More about this item

    Keywords

    Filtration expansion; No arbitrage; Martingale measures;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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