Aufsatz(elektronisch)3. Juli 2006
Martingale measures in the market with restricted information
In: Journal of applied mathematics & decision sciences: JAMDS, Band 2006, S. 1-7
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Abstract
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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