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

Zwierz J.

Bulletin of the Polish Academy of Sciences. Mathematics

2007

Vol. 55, no 2

183-192

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.