Optional projection under equivalent local martingale measures
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| Định dạng: | Sách |
| Ngôn ngữ: | English |
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Springer
2023
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| Truy cập trực tuyến: | https://link.springer.com/article/10.1007/s00780-023-00503-3 https://dlib.phenikaa-uni.edu.vn/handle/PNK/7474 |
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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 |
8.887836 |