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Title: STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT
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.  more » « less
Award ID(s):
1714984
PAR ID:
10172017
Author(s) / Creator(s):
;
Date Published:
Journal Name:
International Journal of Theoretical and Applied Finance
Volume:
23
Issue:
01
ISSN:
0219-0249
Page Range / eLocation ID:
2050001
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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