• 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 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. 
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