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Języki publikacji
Abstrakty
We consider a market with two types of agents with different levels of information. In addition to a regular agent, there is an insider whose additional knowledge consists of being able to stop at an honest time Λ. We show, using the multiplicative decomposition of the Azéma supermartingale, that if the martingale part of the price process has the predictable representation property and Λ satisfies some mild assumptions, then there is no equivalent local martingale measure for the insider. This extends the results obtained by Imkeller to the continuous semimartingale setting and general honest times
Słowa kluczowe
Kategorie tematyczne
Rocznik
Tom
Numer
Strony
183-192
Opis fizyczny
Daty
wydano
2007
Twórcy
autor
- Mathematical Institute, Wrocław University, Pl. Grunwaldzki 2/4, 50-384 Wrocław, Poland
Bibliografia
Typ dokumentu
Bibliografia
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DOI
Identyfikator YADDA
bwmeta1.element.bwnjournal-article-doi-10_4064-ba55-2-9