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文章基本信息

  • 标题:Martingale measures in the market with restricted information
  • 本地全文:下载
  • 作者:Yang Jianqi ; Yan Haifeng ; Liu Limin
  • 期刊名称:Advances in Decision Sciences
  • 印刷版ISSN:2090-3359
  • 电子版ISSN:2090-3367
  • 出版年度:2006
  • 卷号:2006
  • DOI:10.1155/JAMDS/2006/74864
  • 出版社:Hindawi Publishing Corporation
  • 摘要: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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