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arXiv · 0803.1890

On the semimartingale property of discounted asset-price processes

Constantinos Kardaras·Eckhard Platen
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Abstract

A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, the semimartingale property is not assumed. Via a natural market viability assumption, namely, absence of arbitrages of the first kind, we establish that discounted asset-prices have to be semimartingales. In a slightly more specialized case, we extend the previous result in a weakened version of the Fundamental Theorem of Asset Pricing that involves strictly positive supermartingale deflators rather than Equivalent Martingale Measures.

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Constantinos Kardaras, Eckhard Platen. 2009-11-01. On the semimartingale property of discounted asset-price processes. https://arxiv.org/abs/0803.1890

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