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Information,no-arbitrage and completeness for asset price models with a change point
Authors:Claudio Fontana  Zorana Grbac  Monique Jeanblanc  Qinghua Li
Institution:1. Université d’Évry Val d’Essonne, Laboratoire de Mathématiques et Modélisation, 23 boulevard de France, F-91037 Évry Cedex, France;2. Laboratoire de Probabilités et Modèles Aléatoires, Université Paris Diderot, Case 7012, 75205 Paris Cedex 13, France;3. Institute of Mathematics, Humboldt University Berlin, Unter den Linden 6, 10099 Berlin, Germany
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 ττ. 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.
Keywords:60G40  60G44  91B25  91B70  91G10
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