Annals of Applied Probability
We show that with suitable restrictions on allowable trading strategies, one has no arbitrage in settings where the traditional theory would admit arbitrage possibilities. In particular, price processes that are not semimartingales are possible in our setting, for example, fractional Brownian motion.
First Page Number
Last Page Number
Original published version available at http://projecteuclid.org/DPubS?service=UI&version=1.0&verb=Display&handle=euclid.aoap/1241702243.
Jarrow, R. A., Protter, P., & Sayit, H. (2009). No Arbitrage without Semimartingales. Annals of Applied Probability, 19(2), 596-616. http://dx.doi.org/10.1214/08-AAP554