Showing 1 - 10 of 18
An equivalent !-martingale measure (E!MM) for a given stochastic process Sis a probability measure R equivalent to the original measure P such that S isan R-!-martingale. Existence of an E!MM is equivalent to a classical absenceof-arbitrage property of S, and is invariant if we replace the...
Persistent link: https://www.econbiz.de/10009486965
This paper addresses the question of how an arbitrage-free semimartingale model is affected when stopped at a random horizon. We focus on No-Unbounded-Profit-with-Bounded-Risk (called NUPBR hereafter) concept, which is also known in the literature as the first kind of non-arbitrage. For this...
Persistent link: https://www.econbiz.de/10010742357
This paper completes the analysis of Choulli et al. Non-Arbitrage up to Random Horizons and after Honest Times for Semimartingale Models and contains two principal contributions. The first contribution consists in providing and analysing many practical examples of market models that admit...
Persistent link: https://www.econbiz.de/10010721072
This paper completes the two studies undertaken in \cite{aksamit/choulli/deng/jeanblanc2} and \cite{aksamit/choulli/deng/jeanblanc3}, where the authors quantify the impact of a random time on the No-Unbounded-Risk-with-Bounded-Profit concept (called NUPBR hereafter) when the stock price...
Persistent link: https://www.econbiz.de/10011273069
This paper addresses the question of non-arbitrage (precisely No-Unbounded-Profit-with-Bounded-Risk, NUPBR hereafter) after a specific random time. This study completes the one of Aksamit et al. \cite{aksamit/choulli/deng/jeanblanc}, devoted to the study before the random time, by elaborating...
Persistent link: https://www.econbiz.de/10010755917
Persistent link: https://www.econbiz.de/10011944480
Persistent link: https://www.econbiz.de/10011945638
We consider an investor maximizing his expected utility from terminal wealth with portfolio decisions based on the available information flow. This investor faces the opportunity to acquire some additional initial information G.. The subjective fair value of this information for the investor is...
Persistent link: https://www.econbiz.de/10010983580
We consider an investor maximizing his expected utility from terminal wealth with portfolio decisions based on the available information flow. This investor faces the opportunity to acquire some additional initial information G.. The subjective fair value of this information for the investor is...
Persistent link: https://www.econbiz.de/10010310201
We use probabilistic methods to study classical solutions for systems of interacting semilinear parabolic partial differential equations. In a modeling framework for a financial market with interacting Ito and point processes, such PDEs are shown to provide a natural description for the solution...
Persistent link: https://www.econbiz.de/10005084341