On arbitrages arising from honest times
arXiv:1207.1759 · doi:10.1007/s00780-014-0231-1
Abstract
In the context of a general continuous financial market model, we study whether the additional information associated with an honest time gives rise to arbitrage profits. By relying on the theory of progressive enlargement of filtrations, we explicitly show that no kind of arbitrage profit can ever be realised strictly before an honest time, while classical arbitrage opportunities can be realised exactly at an honest time as well as after an honest time. Moreover, stronger arbitrages of the first kind can only be obtained by trading as soon as an honest time occurs. We carefully study the behavior of local martingale deflators and consider no-arbitrage-type conditions weaker than NFLVR.
25 pages, revised version
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Cited by in corpus (13)
- Weak and strong no-arbitrage conditions for continuous financial markets
- Non-Arbitrage up to Random Horizon for Semimartingale Models
- Enlargement of filtration and predictable representation property for semi-martingales
- On Progressive Filtration Expansions with a Process; Applications to Insider Trading
- Information, no-arbitrage and completeness for asset price models with a change point
- Non-arbitrage for Informational Discrete Time Market Models
- Insider information and its relation with the arbitrage condition and the utility maximization problem
- Non-Arbitrage under a Class of Honest Times
- Construction of multi-default models with full viability
- Drift operator in a viable expansion of information flow
- No arbitrage and multiplicative special semimartingales
- Structure conditions under progressively added information
- Market models with optimal arbitrage