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- W1529751671 abstract "This paper focuses on the stability of the non-arbitrage condition in discrete time market models when some unknown information $tau$ is partially/fully incorporated into the market. Our main conclusions are twofold. On the one hand, for a fixed market $S$, we prove that the non-arbitrage condition is preserved under a mild condition. On the other hand, we give the necessary and sufficient equivalent conditions on the unknown information $tau$ to ensure the validity of the non-arbitrage condition for any market. Two concrete examples are presented to illustrate the importance of these conditions, where we calculate explicitly the arbitrage opportunities when they exist." @default.
- W1529751671 created "2016-06-24" @default.
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- W1529751671 date "2014-07-06" @default.
- W1529751671 modified "2023-09-27" @default.
- W1529751671 title "Non-arbitrage for Informational Discrete Time Market Models" @default.
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