Artikel
No arbitrage in continuous financial markets
We derive integral tests for the existence and absence of arbitrage in a financial market with one risky asset which is either modeled as stochastic exponential of an Itô process or a positive diffusion with Markov switching. In particular, we derive conditions for the existence of the minimal martingale measure. We also show that for Markov switching models the minimal martingale measure preserves the independence of the noise and we study how the minimal martingale measure can be modified to change the structure of the switching mechanism. Our main mathematical tools are new criteria for the martingale and strict local martingale property of certain stochastic exponentials.
- Sprache
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Englisch
- Erschienen in
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Journal: Mathematics and Financial Economics ; ISSN: 1862-9660 ; Volume: 14 ; Year: 2020 ; Issue: 3 ; Pages: 461-506 ; Berlin, Heidelberg: Springer
- Klassifikation
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Wirtschaft
Structure and Scope of Government: General
Mathematical Methods
General Financial Markets: Other
- Thema
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No arbitrage
Financial bubble
Minimal martingale measure
Itô process
Switching diffusion
Stochastic exponential
- Ereignis
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Geistige Schöpfung
- (wer)
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Criens, David
- Ereignis
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Veröffentlichung
- (wer)
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Springer
- (wo)
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Berlin, Heidelberg
- (wann)
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2020
- DOI
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doi:10.1007/s11579-020-00262-1
- Letzte Aktualisierung
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20.09.2024, 08:23 MESZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Criens, David
- Springer
Entstanden
- 2020