Journal of applied mathematics & informatics

The Korean Society for Computational and Applied Mathematics (한국전산응용수학회)
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A NOTE FOR RESTRICTED INFORMATION MARKETS

  • Jianqi, Yang (University of Shanghai for Science and Technology) ;
  • Qingxian, Xiao (University of Shanghai for Science and Technology) ;
  • Haifeng, Yan (School of Finance and Banking Nanjing University of Finance and Economics)
  • Published : 2009.09.30
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Abstract

This paper considers the problems of martingale measures and risk-minimizing hedging strategies in the market with restricted information. By constructing a general 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. As an example of restricted information markets, this paper constitutes a jump-diffusion process model and presents a risk minimizing problem under different information. Through $It\hat{o}$ formula and projection results in Schweizer[13], the explicit optimal strategy for different market information are given.

Keywords

References

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