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Non-arbitrage under a class of honest times

Abstract:

This paper quantifies the interplay between the non-arbitrage notion of No-Unbounded-Profit-with-Bounded-Risk (NUPBR hereafter) and additional information generated by a random time. This study complements the one of Aksamit/Choulli/Deng/Jeanblanc in which the authors studied similar topics for the case of stopping at the random time instead, while herein we are concerned with the part after the occurrence of the random time. Given that all the literature -up to our knowledge- proves that the...

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Publication status:
Not published
Peer review status:
Not peer reviewed

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Authors


Choulli, T More by this author
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Department:
Oxford, MPLS, Mathematical Institute
Jeanblanc, M More by this author
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Grant:
Chaire Markets in transition
Journal:
arXiv
Publication date:
2017-01-05
Pubs id:
pubs:511062
URN:
uri:36eec47a-4f3a-4340-b56d-a9ab81dd9bc1
UUID:
uuid:36eec47a-4f3a-4340-b56d-a9ab81dd9bc1
Local pid:
pubs:511062
Keywords:

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