STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT

被引：0
|
作者：
Dandapani, Aditi [1 ]
Protter, Philip [2 ]
机构：
[1] Univ Zurich, Inst Math, Winterthurerstr 190, CH-8057 Zurich, Switzerland
[2] Columbia Univ, Stat Dept, New York, NY 10027 USA
来源：
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2020年 / 23卷 / 01期
关键词：
Strict local martingales; filtration expansion; bubbles; ITOS INTEGRATED FORMULA; BUBBLES;
D O I：
10.1142/S0219024920500016
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
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页数：28
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