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Information, no-arbitrage and completeness for asset price models with a change point

Please always quote using this URN:urn:nbn:de:0296-matheon-12072
  • We consider a general class of continuous asset price models where the drift and the volatility functions, as well as the driving Brownian motions, change at a random time. Under minimal assumptions on the random time and on the driving Brownian motions, we study the behavior of the model in all the filtrations which naturally arise in this setting, establishing martingale representation results and characterizing the validity of the NA1 and NFLVR no-arbitrage conditions.

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Metadaten
Author:Claudio Fontana, Zorana Grbac, Monique Jeanblanc, Qinghua Li
URN:urn:nbn:de:0296-matheon-12072
Referee:Dirk Becherer
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2013/08/05
Release Date:2013/08/05
Institute:Research Center Matheon
Technische Universität Berlin
MSC-Classification:60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Gxx Stochastic processes / 60G40 Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60]
60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Gxx Stochastic processes / 60G44 Martingales with continuous parameter
91-XX GAME THEORY, ECONOMICS, SOCIAL AND BEHAVIORAL SCIENCES / 91Bxx Mathematical economics (For econometrics, see 62P20) / 91B25 Asset pricing models
91-XX GAME THEORY, ECONOMICS, SOCIAL AND BEHAVIORAL SCIENCES / 91Bxx Mathematical economics (For econometrics, see 62P20) / 91B70 Stochastic models
91-XX GAME THEORY, ECONOMICS, SOCIAL AND BEHAVIORAL SCIENCES / 91Gxx Mathematical finance / 91G10 Portfolio theory
Preprint Number:1026
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