No arbitrage without semimartingales

Authors
Jarrow, Robert A. Protter, Philip Sayit, Hasanjan
Citation
A. Jarrow, Robert et al., No arbitrage without semimartingales, Annals of applied probability , 19(2), 2009, pp. 596-616
Journal title
Annals of applied probability → ACNP
ISSN journal
10505164
Volume
19
Issue
2
Year of publication
2009
Pages
596 - 616
Database
ACNP
SICI code
Abstract
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.