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  • Search: subject:"Filtration shrinkage"
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Subject
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Filtration shrinkage 2 Local martingale 2 Local martingale measure 2 Optional projection 2 CAPM 1 Martingal 1 Martingale 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1
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Online availability
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Free 2
Type of publication
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Article 2
Type of publication (narrower categories)
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Article 1 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 2
Author
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Biagini, Francesca 2 Mazzon, Andrea 2 Perkkiö, Ari-Pekka 2
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Finance and Stochastics 1 Finance and stochastics 1
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ECONIS (ZBW) 1 EconStor 1
Showing 1 - 2 of 2
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Optional projection under equivalent local martingale measures
Biagini, Francesca; Mazzon, Andrea; Perkkiö, Ari-Pekka - In: Finance and Stochastics 27 (2023) 2, pp. 435-465
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...
Persistent link: https://www.econbiz.de/10015327406
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Cover Image
Optional projection under equivalent local martingale measures
Biagini, Francesca; Mazzon, Andrea; Perkkiö, Ari-Pekka - In: Finance and stochastics 27 (2023) 2, pp. 435-465
Persistent link: https://www.econbiz.de/10014253651
Saved in:
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