No arbitrage conditions for simple trading strategies
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 . We also pro- vide no arbitrage conditions for stochastic processes within the class of simple trading strategies with shortsale restriction.
(This abstract was borrowed from another version of this item.)
Volume (Year): 6 (2010)
Issue (Month): 1 (January)
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- Robert A. Jarrow, 2015. "Asset Price Bubbles," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 201-218, December.
- 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.