Advances in Decision Sciences
Volume 2006 (2006), Issue 2, Pages Article 74864, 7 p.
doi:10.1155/JAMDS/2006/74864
Martingale measures in the market with restricted information
Jianqi Yang1
, Haifeng Yan2
and Limin Liu3
1Department of Mathematics, Hunan University of Science and Engineering, Yongzhou, Hunan 425006, China
2School of Finance and Banking, Nanjing University of Finance and Economics, Nanjing, Jiangsu 210046, China
3Department of Mathematics, Henan Normal University, Xinxiang, Henan 453008, China
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.