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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Francesca, Biagini | - |
| dc.contributor.author | Andrea, Mazzon | - |
| dc.contributor.author | Ari-Pekka, Perkkiö | - |
| dc.date.accessioned | 2023-04-04T03:14:28Z | - |
| dc.date.available | 2023-04-04T03:14:28Z | - |
| dc.date.issued | 2023 | - |
| dc.identifier.uri | https://link.springer.com/article/10.1007/s00780-023-00503-3 | - |
| dc.identifier.uri | https://dlib.phenikaa-uni.edu.vn/handle/PNK/7474 | - |
| dc.description | CC BY | vi |
| dc.description.abstract | We study optional projections of G-adapted strict local martingales on a smaller filtration F under changes of equivalent martingale measures. General results are provided as well as a detailed analysis of two specific examples given by the inverse Bessel process and a class of stochastic volatility models. This analysis contributes to clarify the absence of arbitrage opportunities of market models under restricted information. | vi |
| dc.language.iso | en | vi |
| dc.publisher | Springer | vi |
| dc.subject | G-adapted strict | vi |
| dc.subject | filtration F under | vi |
| dc.title | Optional projection under equivalent local martingale measures | vi |
| dc.type | Book | vi |
| Appears in Collections | OER - Khoa học Tự nhiên | |
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