68 citations · 225 across the 22 of their papers we have counts for
3 papers · 1 filter
Non-Arbitrage under a Class of Honest Times
Tahir Choulli, Anna Aksamit, Jun Deng +1
This paper quantifies the interplay between the non-arbitrage notion of No-Unbounded-Profit-with-Bounded-Risk (NUPBR hereafter) and additional information generated by a random tim…
Non-Arbitrage up to Random Horizon for Semimartingale Models
Anna Aksamit, Tahir Choulli, Jun Deng +1
This paper addresses the question of how an arbitrage-free semimartingale model is affected when stopped at a random horizon. We focus on No-Unbounded-Profit-with-Bounded-Risk (cal…
Information, no-arbitrage and completeness for asset price models with a change point
Claudio Fontana, Zorana Grbac, Monique Jeanblanc +1
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 . Und…