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Martingale measures in the market with restricted information
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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.
Informa UK Limited
Title: Martingale measures in the market with restricted information
Description:
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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