No arbitrage without semimartingales

Details No arbitrage without semimartingales No arbitrage without semimartingales

2009-06-12

arxiv.org/abs/0906.2318v1

Annals of Applied Probability 2009, Vol. 19, No. 2, 596-616

Mathematics

Probability

Published in at http://dx.doi.org/10.1214/08-AAP554 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Inst

Scientific paper

10.1214/08-AAP554

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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