# Optional projection under equivalent local martingale measures

@article{Biagini2020OptionalPU, title={Optional projection under equivalent local martingale measures}, author={Francesca Biagini and Andrea Mazzon and Ari-Pekka Perkkio}, journal={arXiv: Mathematical Finance}, year={2020} }

Motivation for this paper is to understand the impact of information on asset price bubbles and perceived arbitrage opportunities. This boils down to study optional projections of $\mathbb{G}$-adapted strict local martingales into a smaller filtration $\mathbb{F}$ under equivalent martingale measures. We give some general results as well as analyze in details two specific examples given by the inverse three dimensional Bessel process and a class of stochastic volatility models.

## 2 Citations

Filtration shrinkage, the structure of deflators, and failure of market completeness

- Mathematics
- 2020

We analyse the structure of local martingale deflators projected on smaller filtrations. In a general continuous-path setting, we show that the local martingale part in the multiplicative Doob-Meyer…

Filtration Shrinkage, the Structure of Deflators, and Failure of Market Completeness

- Mathematics, EconomicsSSRN Electronic Journal
- 2019

We analyse the structure of local martingale deflators projected on smaller filtrations. In a general continuous-path setting, we show that the local martingale part in the multiplicative Doob-Meyer…

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