Open AccessMartingale measures in the market with restricted information
Author(s) -
Yang Jianqi,
Yan Hai-feng,
Limin Liu
Publication year - 2006
Publication title -
journal of applied mathematics and decision sciences
Language(s) - English
Resource type - Journals
eISSN - 1532-7612
pISSN - 1173-9126
DOI - 10.1155/jamds/2006/74864
Subject(s) - martingale (probability theory) , arbitrage , local martingale , econometrics , mathematical economics , martingale pricing , mathematics , economics , financial economics
This paper considers the problem of the market with restrictedinformation. By constructing a restricted information marketmodel, the explicit relation of arbitrage and the minimalmartingale measure between two different information markets are discussed. Also a link among all equivalentmartingale measures under restricted information market is given
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