ASSET PRICE BUBBLES IN INCOMPLETE MARKETS

DOI10.1111/j.1467-9965.2010.00394.xzbMath1205.91069MaRDI QIDQ3553253

Kazuhiro Shimbo, Robert A. Jarrow, Philip E. Protter

Publication date: 22 April 2010

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00394.x

zbMATH Keywords

price bubbles; local martingales; NFLVR; no dominance

Mathematics Subject Classification ID

60G48: Generalizations of martingales

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

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