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On stochastic calculus related to financial assets without semimartingales
| Content Provider | Semantic Scholar |
|---|---|
| Author | Coviello, Rosanna Girolami, Cristina Di Russo, Francesco |
| Copyright Year | 2011 |
| Abstract | This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes. The non-arbitrage property is not excluded if the class $\mathcal{A}$ of admissible strategies is restricted. The classical notion of martingale is replaced with the notion of $\mathcal{A}$-martingale. A calculus related to $\mathcal{A}$-martingales with some examples is developed. Some applications to no-arbitrage, viability, hedging and the maximization of the utility of an insider are expanded. We finally revisit some no arbitrage conditions of Bender-Sottinen-Valkeila type. |
| Starting Page | 733 |
| Ending Page | 774 |
| Page Count | 42 |
| File Format | PDF HTM / HTML |
| DOI | 10.1016/j.bulsci.2011.06.008 |
| Volume Number | 135 |
| Alternate Webpage(s) | http://hal-enpc.archives-ouvertes.fr/docs/00/56/47/56/PDF/NSModels9Fev2011Sent.pdf |
| Alternate Webpage(s) | https://arxiv.org/pdf/1102.2050v1.pdf |
| Alternate Webpage(s) | https://doi.org/10.1016/j.bulsci.2011.06.008 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
