Characterization of arbitrage-free markets

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dc.creatorStrasser, Eva
dc.date2005-03-23
dc.date.accessioned2026-07-07T12:11:11Z
dc.date.available2026-07-07T12:11:11Z
dc.descriptionThe present paper deals with the characterization of no-arbitrage properties of a continuous semimartingale. The first main result, Theorem \refMainTheoremCharNA, extends the no-arbitrage criterion by Levental and Skorohod [Ann. Appl. Probab. 5 (1995) 906-925] from diffusion processes to arbitrary continuous semimartingales. The second main result, Theorem 2.4, is a characterization of a weaker notion of no-arbitrage in terms of the existence of supermartingale densities. The pertaining weaker notion of no-arbitrage is equivalent to the absence of immediate arbitrage opportunities, a concept introduced by Delbaen and Schachermayer [Ann. Appl. Probab. 5 (1995) 926-945]. Both results are stated in terms of conditions for any semimartingales starting at arbitrary stopping times σ. The necessity parts of both results are known for the stopping time σ=0 from Delbaen and Schachermayer [Ann. Appl. Probab. 5 (1995) 926-945]. The contribution of the present paper is the proofs of the corresponding sufficiency parts.
dc.descriptionPublished at http://dx.doi.org/10.1214/105051604000000558 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0503473
dc.identifierhttp://arxiv.org/abs/math/0503473
dc.identifierAnnals of Applied Probability 2005, Vol. 15, No. 1A, 116-124
dc.identifierdoi:10.1214/105051604000000558
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210147
dc.subjectProbability
dc.subjectComputational Finance
dc.subject60H05,, 90A09 (Primary) . (Secondary)
dc.titleCharacterization of arbitrage-free markets
dc.typetext

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