Optional projection under equivalent local martingale measures

Biagini, Francesca ; Mazzon, Andrea und Perkkiö, Ari-Pekka (2023): Optional projection under equivalent local martingale measures. In: Finance and Stochastics, Bd. 27, Nr. 2: S. 435-465

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.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISSN: 0949-2984
• Sprache: Englisch