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

Author

Listed:
  • Claudio Fontana
  • Zorana Grbac
  • Monique Jeanblanc
  • Qinghua Li

Abstract

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 $\tau$. 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.

Suggested Citation

  • Claudio Fontana & Zorana Grbac & Monique Jeanblanc & Qinghua Li, 2013. "Information, no-arbitrage and completeness for asset price models with a change point," Papers 1304.0923, arXiv.org, revised Apr 2014.
    • Handle: RePEc:arx:papers:1304.0923
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    References listed on IDEAS

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    1. El Karoui, Nicole & Jeanblanc, Monique & Jiao, Ying, 2010. "What happens after a default: The conditional density approach," Stochastic Processes and their Applications, Elsevier, vol. 120(7), pages 1011-1032, July.
    2. Tomas Björk & Mark Davis & Camilla Landén, 2010. "Optimal investment under partial information," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(2), pages 371-399, April.
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    Cited by:

    1. Karen Grigorian & Robert A. Jarrow, 2023. "Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples," Papers 2303.03573, arXiv.org.
    2. Oliver Janke, 2016. "Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point," Papers 1610.08644, arXiv.org.
    3. David Criens, 2018. "No Arbitrage in Continuous Financial Markets," Papers 1809.09588, arXiv.org, revised Feb 2020.

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