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Journal of Applied Mathematics and Decision Sciences - Volume 2006 2006, Article ID 74864, 7 pages



Department of Mathematics, Hunan University of Science and Engineering, Yongzhou, Hunan 425006, China

School of Finance and Banking, Nanjing University of Finance and Economics, Nanjing, Jiangsu 210046, China

Department of Mathematics, Henan Normal University, Xinxiang, Henan 453008, China

Received 7 May 2005; Accepted 31 January 2006

Copyright © 2006 Yang Jianqi et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

This paper considers the problem of the market with restrictedinformation. By constructing a restricted information marketmodel, the explicit relation of arbitrage and the minimalmartingale measure between two different information markets are discussed. Also a link among all equivalentmartingale measures under restricted information market is given.





Author: Yang Jianqi, Yan Haifeng, and Liu Limin

Source: https://www.hindawi.com/



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