Czasopismo
2007
|
Vol. 55, no 2
|
183-192
Tytuł artykułu
Autorzy
Wybrane pełne teksty z tego czasopisma
Warianty tytułu
Języki publikacji
Abstrakty
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.
Rocznik
Tom
Strony
183-192
Opis fizyczny
Bibliogr. 9 poz.
Twórcy
autor
- Institute Wroclaw University, PI. Grunwaldzki 2/4, 50-384 Wroclaw, Poland, zwierz@math.uni.wroc.pl
Bibliografia
- [1] S. Ankirchner, S. Dereich and P. Imkeller, The Shannon information of filtrations and the additional logarithmic utility of insiders, Ann. Probab. 34 (2006), 743-778.
- [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.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.baztech-article-BAT5-0015-0024