On existence of local martingale measures for insiders who can stop at honest times

• Autorzy: Zwierz J.
• Języki publikacji: EN

Abstrakty

EN

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 A. We show, using the multiplicative decomposition of the Azema supermartingale, that if the martingale part of the price process has the predictable representation property and A 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.

Słowa kluczowe

EN

insider trading; progressive enlargement of filtrations; equivalent martingale measure; NFLVR; honest time

• Wydawca: Instytut Matematyczny PAN
• Czasopismo: Bulletin of the Polish Academy of Sciences. Mathematics
• Rocznik: 2007
• Tom: Vol. 55, no 2
• Strony: 183--192
• Opis fizyczny: Bibliogr. 9 poz.

Twórcy

autor

Zwierz J.

• Institute Wroclaw University, PI. Grunwaldzki 2/4, 50-384 Wroclaw, Poland,

Bibliografia

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• [2] S. Ankirchner and P. Imkeller, Finite utility on financial markets with asymmetric information and structure properties of the price dynamics, Ann. Inst. H. Poincare Probab. Statist. 41 (2005), 479-503.
• [3] F. Delbaen and W. Schachermayer, A general version of the fundamental theorem of asset pricing, Math. Ann. 300 (1994), 463-520.
• [4] —, —, The existence of absolutely continuous local martingale measures, Ann. Appl. Probab. 5 (1995), 926-945.
• [5] P. Imkeller, Random times at which insiders can have free lunches, Stoch. Stoch. Rep. 74 (2002), 465-487.
• [6] T. Jeulin, Semi-martingales et grossissement de filtration, Lecture Notes in Math. 833, Springer, 1980.
• [7] T. Jeulin et M. Yor, Grossissements de filtrations : exemples et applications, Lecture Notes in Math. 1118, Springer, 1985.