The Economic Plausibility of Strict Local Martingales in Financial Modelling

DOI10.1007/978-3-642-03479-4_4zbMath1217.91169OpenAlexW2098456806MaRDI QIDQ3000876

Hardy Hulley

Publication date: 31 May 2011

Published in: Contemporary Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://www.uts.edu.au/sites/default/files/qfr-archive-03/QFR-rp279.pdf

zbMATH Keywords

Bessel processstrict local martingalereal world pricingbond price bubbleinverse Bessel process in dimension threesecurity price bubble

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (14)

Relative asset price bubbles ⋮ Strict local martingales and the Khasminskii test for explosions ⋮ Weak tail conditions for local martingales ⋮ Hedging for the long run ⋮ Arbitrage problems with reflected geometric Brownian motion ⋮ THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL ⋮ Strict local martingales with jumps ⋮ ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE ⋮ A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing ⋮ STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT ⋮ Diffusion-Based Models for Financial Markets Without Martingale Measures ⋮ A Mathematical Theory of Financial Bubbles ⋮ Valuation and Parities for Exchange Options ⋮ Strict local martingales and bubbles

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