No arbitrage for a special class of filtration expansions

Karen Grigorian () and Robert Jarrow ()
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Karen Grigorian: Cornell University

Annals of Finance, 2025, vol. 21, issue 1, No 3, 45-68

Abstract: Abstract This paper provides a set of sufficient conditions for special classes of filtration expansions, such that the expanded information introduces no new arbitrage opportunities into a market. The information expansion corresponds to knowledge of the “true” price process. The theorem is based on comparing two distinct markets—the original and a fictitious—each associated with a different filtration, and employs the first fundamental theorem of asset pricing in both of these two markets.

Keywords: Filtration expansion; No arbitrage; Martingale measures (search for similar items in EconPapers)
JEL-codes: G12 G13 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s10436-024-00458-1

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