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

DOI10.1016/j.spa.2014.04.010zbMath1326.60057arXiv1304.0923OpenAlexW1982752872MaRDI QIDQ740193

Claudio Fontana, Zorana Grbac, Monique Jeanblanc-Picqué, Qing-Hua Li

Publication date: 2 September 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.0923

zbMATH Keywords

Brownian motionregime switchingenlargement of filtrationmartingale representationarbitrage of the first kindchange pointrandom timecontinuous asset price models

Mathematics Subject Classification ID

Related Items (6)

No arbitrage in continuous financial markets ⋮ The martingale problem method revisited ⋮ Utility maximization under risk constraints and incomplete information for a market with a change point ⋮ Semiparametric method for detecting multiple change points model in financial time series ⋮ Semiparametric test for multiple change-points based on empirical likelihood ⋮ WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS

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