Martingale measures in the market with restricted information (Q868406)
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scientific article; zbMATH DE number 5131026
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| English | Martingale measures in the market with restricted information |
scientific article; zbMATH DE number 5131026 |
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Martingale measures in the market with restricted information (English)
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5 March 2007
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Summary: This paper considers the problem of the market with restricted information. By constructing a restricted information market model, the explicit relation of arbitrage and the minimal martingale measure between two different information markets are discussed. Also a link among all equivalent martingale measures under restricted information market is given.
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0.8276495933532715
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0.786050021648407
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0.7740314602851868
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