On Existence of Local Martingale Measures for Insiders who Can Stop at Honest Times

• Autorzy: Jakub Zwierz
• Języki publikacji: EN

Abstrakty

EN

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

Kategorie tematyczne

• 60G44: Martingales with continuous parameter
• 60H30: Applications of stochastic analysis (to PDE, etc.)

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Bulletin of the Polish Academy of Sciences. Mathematics
• Rocznik: 2007
• Tom: 55
• Numer: 2
• Strony: 183-192

Daty

wydano

2007

Twórcy

autor

Jakub Zwierz

• Mathematical Institute, Wrocław University, Pl. Grunwaldzki 2/4, 50-384 Wrocław, Poland

Identyfikatory

DOI

10.4064/ba55-2-9