On the semimartingale property of discounted asset-price processes

Constantinos Kardaras and Eckhard Platen ()

Stochastic Processes and their Applications, 2011, vol. 121, issue 11, 2678-2691

Abstract: A financial market model where agents trade using realistic combinations of simple (i.e., finite combinations of buy-and-hold) no-short-sales strategies is considered. Minimal assumptions are made on the discounted asset-price process â in particular, the semimartingale property is not assumed. Via a natural market viability assumption, namely, absence of arbitrage of the first kind, we establish that discounted asset-prices have to be semimartingales. Our main result can also be regarded as reminiscent of the Fundamental Theorem of Asset Pricing.

Keywords: Numeraire; portfolio; Semimartingales; Buy-and-hold; strategies; No-short-sales; constraints; Arbitrage; of; the; first; kind; Supermartingale; deflators (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (25)

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Working Paper: On the semimartingale property of discounted asset-price processes (2009)
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