Optional projection under equivalent local martingale measures

We study optional projections of G-adapted strict local martingales on a smaller filtration Funder 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.

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Year of publication:	2023
Authors:	Biagini, Francesca ; Mazzon, Andrea ; Perkkiö, Ari-Pekka
Published in:	Finance and Stochastics. - Berlin, Heidelberg : Springer, ISSN 1432-1122. - Vol. 27.2023, 2, p. 435-465
Publisher:	Berlin, Heidelberg : Springer
Subject:	Local martingale \| Optional projection \| Local martingale measure \| Filtration shrinkage

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.1007/s00780-023-00503-3 [DOI]
Classification:	C65 - Miscellaneous Mathematical Tools ; D82 - Asymmetric and Private Information
Source:	EconStor

Persistent link: https://www.econbiz.de/10015327406