On the semimartingale property of discounted asset-price processes

Kardaras, C; Platen, E

On the semimartingale property of discounted asset-price processes

Kardaras, C Platen, E

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Publication Type:: Journal Article
Citation:: Stochastic Processes and their Applications, 2011, 121 (11), pp. 2678 - 2691
Issue Date:: 2011-11

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Field	Value	Language
dc.contributor.author	Kardaras, C
dc.contributor.author	Platen, E
dc.date.accessioned	2012-10-12T03:32:47Z
dc.date.issued	2011-11
dc.identifier.citation	Stochastic Processes and their Applications, 2011, 121 (11), pp. 2678 - 2691
dc.identifier.issn	0304-4149
dc.identifier.other	C1	en_US
dc.identifier.uri	http://hdl.handle.net/10453/17934
dc.description.abstract	A financial market model where agents trade using realistic combinations of simple (i.e., finite combinations of buy-and-hold) no-short-sales 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 arbitrage of the first kind, we establish that discounted asset-prices have to be semimartingales. Our main result can also be regarded as reminiscent of the Fundamental Theorem of Asset Pricing. © 2011 Elsevier B.V. All rights reserved.
dc.language	eng
dc.relation.ispartof	Stochastic Processes and their Applications
dc.relation.ispartof	Verified OK	en_US
dc.relation.isbasedon	10.1016/j.spa.2011.06.010
dc.subject	Arbitrage of the first kind
dc.subject	Buy-and-hold strategies
dc.subject	No-short-sales constraints
dc.subject	Numéraire portfolio
dc.subject	Semimartingales
dc.subject	Supermartingale deflators
dc.subject.classification	Applied Mathematics	en_US
dc.title	On the semimartingale property of discounted asset-price processes
dc.type	Journal article
utslib.citation.volume	11
utslib.citation.volume	121
utslib.citation.number	11	en_US
utslib.location	US	en_US
utslib.citation.startpage	2678	en_US
utslib.citation.endpage	2691	en_US
utslib.identifier.org	BUS.School of Finance and Economics	en_US
utslib.for	0102 Applied Mathematics
utslib.percentage	100	en_US
pubs.embargo.period	Not known
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status	closed_access
pubs.consider-herdc	true

Abstract:

A financial market model where agents trade using realistic combinations of simple (i.e., finite combinations of buy-and-hold) no-short-sales 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 arbitrage of the first kind, we establish that discounted asset-prices have to be semimartingales. Our main result can also be regarded as reminiscent of the Fundamental Theorem of Asset Pricing. © 2011 Elsevier B.V. All rights reserved.

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http://hdl.handle.net/10453/17934