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Arbitrages in a Progressive Enlargement Setting

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Listed:
  • Anna Aksamit
  • Tahir Choulli
  • Jun Deng
  • Monique Jeanblanc

Abstract

This paper completes the analysis of Choulli et al. Non-Arbitrage up to Random Horizons and after Honest Times for Semimartingale Models and contains two principal contributions. The first contribution consists in providing and analysing many practical examples of market models that admit classical arbitrages while they preserve the No Unbounded Profit with Bounded Risk (NUPBR hereafter) under random horizon and when an honest time is incorporated for particular cases of models. For these markets, we calculate explicitly the arbitrage opportunities. The second contribution lies in providing simple proofs for the stability of the No Unbounded Profit with Bounded Risk under random horizon and after honest time satisfying additional important condition for particular cases of models.

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  • Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc, 2013. "Arbitrages in a Progressive Enlargement Setting," Papers 1312.2433, arXiv.org.
    • Handle: RePEc:arx:papers:1312.2433
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    1. Axel Grorud & Monique Pontier, 1998. "Insider Trading in a Continuous Time Market Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 1(03), pages 331-347.
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    Cited by:

    1. Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc, 2013. "Non-Arbitrage up to Random Horizon for Semimartingale Models," Papers 1310.1142, arXiv.org, revised Feb 2014.
    2. 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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