On the semimartingale property of discounted asset-price processes

Constantinos Kardaras and Eckhard Platen ()

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Abstract: A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, the semimartingale property is not assumed. Via a natural market viability assumption, namely, absence of arbitrages of the first kind, we establish that discounted asset-prices have to be semimartingales. In a slightly more specialized case, we extend the previous result in a weakened version of the Fundamental Theorem of Asset Pricing that involves strictly positive supermartingale deflators rather than Equivalent Martingale Measures.

Date: 2008-03, Revised 2009-11
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Citations: View citations in EconPapers (8)

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Journal Article: On the semimartingale property of discounted asset-price processes (2011)
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