• Medientyp: E-Artikel
  • Titel: Optional projection under equivalent local martingale measures
  • Beteiligte: Biagini, Francesca; Mazzon, Andrea; Perkkiö, Ari-Pekka
  • Erschienen: Springer Science and Business Media LLC, 2023
  • Erschienen in: Finance and Stochastics
  • Sprache: Englisch
  • DOI: 10.1007/s00780-023-00503-3
  • ISSN: 0949-2984; 1432-1122
  • Schlagwörter: Statistics, Probability and Uncertainty ; Finance ; Statistics and Probability
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  • Beschreibung: <jats:title>Abstract</jats:title> <jats:p>We study optional projections of <jats:inline-formula><jats:alternatives><jats:tex-math>${\mathbb{G}}$</jats:tex-math><mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:mi>G</mml:mi> </mml:math></jats:alternatives></jats:inline-formula>-adapted strict local martingales on a smaller filtration <jats:inline-formula><jats:alternatives><jats:tex-math>${\mathbb{F}}$</jats:tex-math><mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:mi>F</mml:mi> </mml:math></jats:alternatives></jats:inline-formula> 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.</jats:p>