On Existence of Local Martingale Measures for Insiders who Can Stop at Honest Times

Jakub Zwierz. "On Existence of Local Martingale Measures for Insiders who Can Stop at Honest Times." Bulletin of the Polish Academy of Sciences. Mathematics 55.2 (2007): 183-192. <http://eudml.org/doc/280314>.

@article{JakubZwierz2007,
abstract = {We consider a market with two types of agents with different levels of information. In addition to a regular agent, there is an insider whose additional knowledge consists of being able to stop at an honest time Λ. We show, using the multiplicative decomposition of the Azéma supermartingale, that if the martingale part of the price process has the predictable representation property and Λ satisfies some mild assumptions, then there is no equivalent local martingale measure for the insider. This extends the results obtained by Imkeller to the continuous semimartingale setting and general honest times},
author = {Jakub Zwierz},
journal = {Bulletin of the Polish Academy of Sciences. Mathematics},
keywords = {insider trading; progressive enlargement of filtrations; equivalent martingale measure; NFLVR; honest time},
language = {eng},
number = {2},
pages = {183-192},
title = {On Existence of Local Martingale Measures for Insiders who Can Stop at Honest Times},
url = {http://eudml.org/doc/280314},
volume = {55},
year = {2007},
}

TY - JOUR
AU - Jakub Zwierz
TI - On Existence of Local Martingale Measures for Insiders who Can Stop at Honest Times
JO - Bulletin of the Polish Academy of Sciences. Mathematics
PY - 2007
VL - 55
IS - 2
SP - 183
EP - 192
AB - We consider a market with two types of agents with different levels of information. In addition to a regular agent, there is an insider whose additional knowledge consists of being able to stop at an honest time Λ. We show, using the multiplicative decomposition of the Azéma supermartingale, that if the martingale part of the price process has the predictable representation property and Λ satisfies some mild assumptions, then there is no equivalent local martingale measure for the insider. This extends the results obtained by Imkeller to the continuous semimartingale setting and general honest times
LA - eng
KW - insider trading; progressive enlargement of filtrations; equivalent martingale measure; NFLVR; honest time
UR - http://eudml.org/doc/280314
ER -