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Optional projection under equivalent local martingale measures

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Bibliographic Details
Main Authors: Francesca, Biagini, Andrea, Mazzon, Ari-Pekka, Perkkiö
Format: Book
Language:English
Published: Springer 2023
Subjects:
G-adapted strict
filtration F under
Online Access:https://link.springer.com/article/10.1007/s00780-023-00503-3
https://dlib.phenikaa-uni.edu.vn/handle/PNK/7474
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spelling oai:localhost:PNK-74742023-04-04T03:14:28Z Optional projection under equivalent local martingale measures Francesca, Biagini Andrea, Mazzon Ari-Pekka, Perkkiö G-adapted strict filtration F under CC BY 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. 2023-04-04T03:14:28Z 2023-04-04T03:14:28Z 2023 Book https://link.springer.com/article/10.1007/s00780-023-00503-3 https://dlib.phenikaa-uni.edu.vn/handle/PNK/7474 en application/pdf Springer
institution Digital Phenikaa
collection Digital Phenikaa
language English
topic G-adapted strict
filtration F under
spellingShingle G-adapted strict
filtration F under
Francesca, Biagini
Andrea, Mazzon
Ari-Pekka, Perkkiö
Optional projection under equivalent local martingale measures
description CC BY
format Book
author Francesca, Biagini
Andrea, Mazzon
Ari-Pekka, Perkkiö
author_facet Francesca, Biagini
Andrea, Mazzon
Ari-Pekka, Perkkiö
author_sort Francesca, Biagini
title Optional projection under equivalent local martingale measures
title_short Optional projection under equivalent local martingale measures
title_full Optional projection under equivalent local martingale measures
title_fullStr Optional projection under equivalent local martingale measures
title_full_unstemmed Optional projection under equivalent local martingale measures
title_sort optional projection under equivalent local martingale measures
publisher Springer
publishDate 2023
url https://link.springer.com/article/10.1007/s00780-023-00503-3
https://dlib.phenikaa-uni.edu.vn/handle/PNK/7474
_version_ 1762274897925505024
score 8.893527

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