Displaying similar documents to “Martingale measures in the market with restricted information.”

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

Jakub Zwierz (2007)

Bulletin of the Polish Academy of Sciences. Mathematics

Similarity:

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....

Arbitrage in a simple model with general transaction costs

Jakub Olejnik (2005)

Applicationes Mathematicae

Similarity:

We study a version of no arbitrage condition in a simple model with general transaction costs. Our condition is equivalent to the existence of an equivalent martingale measure.