Diversity and No Arbitrage
نویسندگان
چکیده
منابع مشابه
No Arbitrage without Semimartingales
We show that with suitable restrictions on allowable trading strategies, one has no arbitrage in settings where the traditional theory would admit arbitrage possibilities. In particular, price processes that are not semimartingales are possible in our setting, for example fractional Brownian motion.
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ژورنال
عنوان ژورنال: Stochastic Analysis and Applications
سال: 2014
ISSN: 0736-2994,1532-9356
DOI: 10.1080/07362994.2014.939543