Optional projection under equivalent local martingale measures |
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Authors: | Biagini Francesca Mazzon Andrea Perkkiö Ari-Pekka |
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Institution: | 1.Workgroup Financial and Insurance Mathematics, Department of Mathematics, Ludwig-Maximilians Universität, Theresienstrasse 39, 80333, Munich, Germany ; |
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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. |
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