Optional projection under equivalent local martingale measures
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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 |
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8.891145 |