Item Infomation


Title: 
Optional projection under equivalent local martingale measures
Authors: 
Francesca, Biagini
Andrea, Mazzon
Ari-Pekka, Perkkiö
Issue Date: 
2023
Publisher: 
Springer
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.
Description: 
CC BY
URI: 
https://link.springer.com/article/10.1007/s00780-023-00503-3
https://dlib.phenikaa-uni.edu.vn/handle/PNK/7474
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