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An alternative proof of a result of Takaoka

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  • Shiqi Song

Abstract

In Karatzas and Kardaras's paper on semimartingale financial models, it is proved that the NUPBR condition is a property of the local characteristic of the asset process alone. In Takaoka's paper on NUPBR, it is proved that the NUPBR condition is equivalent to the existence of a simga-martingale deflator. However, Takaoka's paper founds its proof on Delbaen and Schachermayer's fundamental asset pricing theorem, i.e. the NFLVR condition, which is not a pure property of the local characteristic of the asset process. In this paper we give an alternative proof of the result of Takaoka, which makes use only the properties of the local characteristic of the asset process.

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  • Shiqi Song, 2013. "An alternative proof of a result of Takaoka," Papers 1306.1062, arXiv.org.
    • Handle: RePEc:arx:papers:1306.1062
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    Cited by:

    1. Song, Shiqi, 2016. "Drift operator in a viable expansion of information flow," Stochastic Processes and their Applications, Elsevier, vol. 126(8), pages 2297-2322.
    2. Shiqi Song, 2014. "Local martingale deflators for asset processes stopped at a default time $S^\tau$ or right before $S^{\tau-}$," Papers 1405.4474, arXiv.org, revised Jul 2016.
    3. Claudio Fontana, 2013. "No-arbitrage conditions and absolutely continuous changes of measure," Papers 1312.4296, arXiv.org, revised Mar 2014.
    4. Claudio Fontana, 2015. "Weak And Strong No-Arbitrage Conditions For Continuous Financial Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 1-34.
    5. Johannes Ruf & Wolfgang Runggaldier, 2013. "A Systematic Approach to Constructing Market Models With Arbitrage," Papers 1309.1988, arXiv.org, revised Dec 2013.
    6. Claudio Fontana & Monique Jeanblanc & Shiqi Song, 2014. "On arbitrages arising with honest times," Finance and Stochastics, Springer, vol. 18(3), pages 515-543, July.
    7. Huy N. Chau & Peter Tankov, 2013. "Market models with optimal arbitrage," Papers 1312.4979, arXiv.org.
    8. Beatrice Acciaio & Claudio Fontana & Constantinos Kardaras, 2014. "Arbitrage of the first kind and filtration enlargements in semimartingale financial models," Papers 1401.7198, arXiv.org, revised May 2015.
    9. Claudio Fontana & Monique Jeanblanc & Shiqi Song, 2012. "On arbitrages arising from honest times," Papers 1207.1759, arXiv.org, revised Jul 2013.
    10. Peter Imkeller & Nicolas Perkowski, 2015. "The existence of dominating local martingale measures," Finance and Stochastics, Springer, vol. 19(4), pages 685-717, October.

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