Information,no-arbitrage and completeness for asset price models with a change point |
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Authors: | Claudio Fontana Zorana Grbac Monique Jeanblanc Qinghua Li |
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Affiliation: | 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 |
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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 τ. 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. |
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Keywords: | 60G40 60G44 91B25 91B70 91G10 |
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