Publication details for Hasanjan SayitJarrow, R., Protter, P. & Sayit, H. (2009). No Arbitrage Without Semimartingales. The Annals of Applied Probability 19(2): 596-616.
- Publication type: Journal Article
- ISSN/ISBN: 1050-5164 (print), 2168-8737 (electronic)
- DOI: 10.1214/08-AAP554
- Further publication details on publisher web site
Author(s) from Durham
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.