On the semimartingale property of discounted asset-price processes

Details On the semimartingale property of discounted asset-price processes On the semimartingale property of discounted asset-price processes

2008-03-13

arxiv.org/abs/0803.1890v5

Economy

Quantitative Finance

Pricing of Securities

11 pages. The text has been thoroughly revised and there are new results. This is the 1st part of what comprised the older arx

Scientific paper

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.

Affiliated with

Also associated with

No associations

Rating

On the semimartingale property of discounted asset-price processes does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with On the semimartingale property of discounted asset-price processes, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On the semimartingale property of discounted asset-price processes will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-69512