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No-arbitrage under a class of honest times

Abstract:

This paper quantifies the interplay between the no-arbitrage notion of no-unbounded-profit-with-bounded-risk (NUPBR hereafter) and additional progressiveinformation generated by a randomtime. This study complements the one of Aksamit et al. in which the authors have studied similar topics for the case of stopping at the randomtime instead, while herein we deal with the part after the occurrence of the randomtime. Given that all the literature, up to our knowledge, proves that NUPBR is always ...

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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Accepted manuscript

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Publisher copy:
10.1007/s00780-017-0345-3

Authors


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Institution:
University of Oxford
Division:
MPLS Division
Department:
Mathematical Institute
Choulli, T More by this author
Jeanblanc, M More by this author
Natural Sciences and Engineering Research Council of Canada More from this funder
French Banking Federation More from this funder
French National Research Association More from this funder
Publisher:
Springer Publisher's website
Journal:
Finance and Stochastics Journal website
Volume:
22
Issue:
1
Pages:
127–159
Publication date:
2017-11-29
Acceptance date:
2017-03-20
DOI:
EISSN:
1432-1122
ISSN:
0949-2984
Pubs id:
pubs:799666
URN:
uri:f2c7fa74-bed5-4b22-b731-3e94bb989f11
UUID:
uuid:f2c7fa74-bed5-4b22-b731-3e94bb989f11
Local pid:
pubs:799666

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