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- W4300129479 abstract "This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes. The non-arbitrage property is not excluded if the class $mathcal{A}$ of admissible strategies is restricted. The classical notion of martingale is replaced with the notion of $mathcal{A}$-martingale. A calculus related to $mathcal{A}$-martingales with some examples is developed. Some applications to no-arbitrage, viability, hedging and the maximization of the utility of an insider are expanded. We finally revisit some no arbitrage conditions of Bender-Sottinen-Valkeila type." @default.
- W4300129479 created "2022-10-03" @default.
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- W4300129479 date "2011-02-10" @default.
- W4300129479 modified "2023-09-28" @default.
- W4300129479 title "On stochastic calculus related to financial assets without semimartingales" @default.
- W4300129479 doi "https://doi.org/10.48550/arxiv.1102.2050" @default.
- W4300129479 hasPublicationYear "2011" @default.
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