scholarly journals Strict local martingales and bubbles

2015 ◽  
Vol 25 (4) ◽  
pp. 1827-1867 ◽  
Author(s):  
Constantinos Kardaras ◽  
Dörte Kreher ◽  
Ashkan Nikeghbali
Keyword(s):  
Strict Local Martingales

scholarly journals STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT

2019 ◽  
Vol 23 (01) ◽  
pp. 2050001
Author(s):  
ADITI DANDAPANI ◽  
PHILIP PROTTER
Keyword(s):  
Stochastic Volatility ◽  
Sufficient Conditions ◽  
Local Martingale ◽  
Change Of Measure ◽  
Stochastic Volatility Models ◽  
Strict Local Martingales ◽  
Volatility Models ◽  
Strict Local Martingale

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.

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