In a general semimartingale financial model, we study the stability of the No Arbitrage of the First Kind (NA1) (or, equivalently, No Unbounded Profit with Bounded Risk) condition under initial and under progressive filtration enlargements. In both cases, we provide a simple and general condition which is sufficient to ensure this stability for any fixed semimartingale model. Furthermore, we give a characterisation of the NA1 stability for all semimartingale models.
Arbitrage of the first kind and filtration enlargements in semimartingale financial models
Claudio Fontana
;
2016
Abstract
In a general semimartingale financial model, we study the stability of the No Arbitrage of the First Kind (NA1) (or, equivalently, No Unbounded Profit with Bounded Risk) condition under initial and under progressive filtration enlargements. In both cases, we provide a simple and general condition which is sufficient to ensure this stability for any fixed semimartingale model. Furthermore, we give a characterisation of the NA1 stability for all semimartingale models.
File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
AFK_na1_180515.pdf
accesso aperto
Descrizione: Preprint articolo
Tipologia:
Preprint (AM - Author's Manuscript - submitted)
Licenza:
Altro
Dimensione
429.4 kB
Formato
Adobe PDF
|
429.4 kB | Adobe PDF | Visualizza/Apri |
|
Acciaio_Fontana_Kardaras(2016).pdf
Accesso riservato
Tipologia:
Published (Publisher's Version of Record)
Licenza:
Accesso privato - non pubblico
Dimensione
493.06 kB
Formato
Adobe PDF
|
493.06 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
