2023
DOI: 10.1007/s00780-023-00503-3
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Optional projection under equivalent local martingale measures

Abstract: We study optional projections of ${\mathbb{G}}$ G -adapted strict local martingales on a smaller filtration ${\mathbb{F}}$ 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 info… Show more

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