2020/03/22 by Biagini, Francesca, Mazzon, Andrea, Perkkiö, Ari-Pekka
#FOS: Economics and business #Mathematical Finance (q-fin.MF)
paper · doi:10.48550/arxiv.2003.09940
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 \mathbbG-adapted strict local martingales into a smaller filtration \mathbbF 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.