Properly discounted asset prices are semimartingales

DOI10.1007/s11579-020-00269-8zbMath1461.91323OpenAlexW3035347993MaRDI QIDQ2024115

Yanyan Li

Publication date: 3 May 2021

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-020-00269-8

zbMATH Keywords

semimartingalesdiscountingsimple strategiesabsence of arbitrageno-short-sales constraintsdynamic share viabilityNA1 for simple strategiessupermartingale discounter

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR ⋮ Semimartingale price systems in models with transaction costs beyond efficient friction ⋮ No arbitrage and multiplicative special semimartingales

Cites Work

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• Riemann-integration and a new proof of the Bichteler-Dellacherie theorem
• Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
• Stochastic integrators

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