Before revision: This paper addresses the question of how an arbitrage-free semimartingale model is affected when stopped at a random horizon or when an honest time is incorporated. Precisely, we focus on No-Unbounded-Profit-with-Bounded-Risk (called NUPBR hereafter) concept, which is also known in the literature as the first kind of non-arbitrage.
After revision: This paper addresses the question of how an arbitrage-free semimartingale model is affected when stopped at a random horizon . We focus on No-Unbounded-Profit-with-Bounded-Risk (called NUPBR hereafter) concept, which is also known in the literature as the first kind of non-arbitrage.