In the context of a general continuous financial market model, we study whether the additional information associated with an honest time gives rise to arbitrage  . By relying on the theory of progressive enlargement of filtrations, we explicitly show that arbitrage profits can never be realized strictly before an honest time, while classical arbitrage opportunities can be realized exactly at a honest time and stronger arbitrages of the first kind always exist after an honest time  . We carefully study the behavior of local martingale deflators and consider no-arbitrage-type conditions weaker than NFLVR.
In the context of a general continuous financial market model, we study whether the additional information associated with an honest time gives rise to arbitrage profits . By relying on the theory of progressive enlargement of filtrations, we explicitly show that no kind of arbitrage profit can ever be realised strictly before an honest time, while classical arbitrage opportunities can be realised exactly at an honest time as well as after an honest time. Moreover, stronger arbitrages of the first kind can only be obtained by trading as soon as an honest time occurs . We carefully study the behavior of local martingale deflators and consider no-arbitrage-type conditions weaker than NFLVR.
A
profits
R
arbitrage profits can never be realized
no kind of arbitrage profit can ever be realised
R
realized exactly at a honest time and
realised exactly at an honest time as well as after an honest time. Moreover,
R
always exist after
can only be obtained by trading as soon as
A
occurs