Arbitrages in a Progressive Enlargement Setting
نویسندگان
چکیده
This paper completes the analysis of Choulli et al. [5] and contains two principal contributions. The first contribution consists in providing and analysing many practical examples of market models that admit classical arbitrages while they preserve the No Unbounded Profit with Bounded Risk (NUPBR hereafter) under random horizon and when an honest time is incorporated for particular cases of models. For these markets, we calculate explicitly the arbitrage opportunities. The second contribution lies in providing simple proofs for the stability of the No Unbounded Profit with Bounded Risk under random horizon and after honest time satisfying additional important condition for particular cases of models.
منابع مشابه
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