Arbitrage of the first kind and filtration enlargements in semimartingale financial models

作者：Acciaio Beatrice; Fontana Claudio; Kardaras Constantinos

来源：Stochastic Processes and Their Applications, 2016, 126(6): 1761-1784.

DOI：10.1016/j.spa.2015.12.004

• Progressive enlargement of filtrations
• Initial enlargement of filtrations
• Arbitrage of the first kind
• Martingale deflator

In a general semimartingale financial model, we study the stability of the No Arbitrage of the First Kind (NA(1)) (or, equivalently, No Unbounded Profit with Bounded Risk) condition under initial and under progressive filtration enlargements. In both cases, we provide a simple and general condition which is sufficient to ensure this stability for any fixed semimartingale model. Furthermore, we give a characterisation of the NA(1) stability for all semimartingale models.

• 出版日期2016-6