No-arbitrage for informational discrete time market models

DOI10.1080/17442508.2016.1276907zbMath1410.91243arXiv1407.1453OpenAlexW2964273868MaRDI QIDQ2974884

Jun Deng, Tahir Choulli

Publication date: 11 April 2017

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.1453

zbMATH Keywords

discrete time modelsarbitragemartingale measureshonest timerandom horizonprogressive and initial enlargements of filtration

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stochastic models in economics (91B70) Auctions, bargaining, bidding and selling, and other market models (91B26)

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