STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT-Reference-Cited by-同舟云学术

STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT

Published:2019-12-27 Issue:01 Volume:23 Page:2050001
ISSN:0219-0249
Container-title:International Journal of Theoretical and Applied Finance
language:en
Short-container-title:Int. J. Theor. Appl. Finan.

Author:

DANDAPANI ADITI¹,PROTTER PHILIP²^ORCID

Affiliation:

1. Institut für Mathematik, Universität Zürich, Winterthurerstrasse 190, CH-8057 Zürich, Switzerland

2. Statistics Department, Columbia University, New York, NY 10027, USA

Abstract

A strict local martingale is a local martingale that is not a martingale. We investigate how such a process might arise from a true martingale as a result of an enlargement of the filtration and a change of measure. We study and implement a particular type of enlargement, initial expansion of filtration, for stochastic volatility models with and without jumps and provide sufficient conditions in each of these cases such that initial expansion can create a strict local martingale. We provide examples of initial enlargement that effect this change.

Funder

National Science Foundation

Publisher

World Scientific Pub Co Pte Lt

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219024920500016

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