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arXiv · 0906.2318

No arbitrage without semimartingales

Robert A. Jarrow·Philip Protter·Hasanjan Sayit
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Abstract

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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Robert A. Jarrow, Philip Protter, Hasanjan Sayit. 2009-06-12. No arbitrage without semimartingales. https://doi.org/10.1214/08-aap554

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