Local martingales, bubbles and option prices
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Publication:2488491
DOI10.1007/s00780-005-0162-yzbMath1092.91023MaRDI QIDQ2488491
David G. Hobson, Alexander Matthew Gordon Cox
Publication date: 24 May 2006
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-005-0162-y
91B70: Stochastic models in economics
60G40: Stopping times; optimal stopping problems; gambling theory
60G44: Martingales with continuous parameter
91G20: Derivative securities (option pricing, hedging, etc.)
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