Optional projection under equivalent local martingale measures

Abstract

Abstract We study optional projections of ${\mathbb{G}}$ G -adapted strict local martingales on a smaller filtration ${\mathbb{F}}$ F under changes of equivalent martingale measures. General results are provided as well as a detailed analysis of two specific examples given by the inverse Bessel process and a class of stochastic volatility models. This analysis contributes to clarify the absence of arbitrage opportunities of market models under restricted information.