• Corpus ID: 214611997

# 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 Perkkio},
journal={arXiv: Mathematical Finance},
year={2020}
}```
• Published 22 March 2020
• Mathematics
• arXiv: Mathematical Finance
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
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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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• 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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