Abstract
We study optional projections of {mathbb{G}}-adapted strict local martingales on a smaller filtration {mathbb{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.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have