Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/313128 
Year of Publication: 
2023
Citation: 
[Journal:] Finance and Stochastics [ISSN:] 1432-1122 [Volume:] 27 [Issue:] 2 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2023 [Pages:] 435-465
Publisher: 
Springer, Berlin, Heidelberg
Abstract: 
We study optional projections of G-adapted strict local martingales on a smaller filtration Funder 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.
Subjects: 
Local martingale
Optional projection
Local martingale measure
Filtration shrinkage
JEL: 
C650
D82
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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