Asset price bubbles in markets with transaction costs

DOI10.3934/fmf.2022002zbMath1500.91141arXiv1911.10149OpenAlexW4287313173MaRDI QIDQ2085833

Francesca Biagini, Thomas Reitsam

Publication date: 19 October 2022

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

Full work available at URL: https://arxiv.org/abs/1911.10149

zbMATH Keywords

transaction costssuper-replicationfinancial bubblesconsistent price systemsfundamental value

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Shifting martingale measures and the birth of a bubble as a submartingale
• The super-replication theorem under proportional transaction costs revisited
• Asymptotic theory of transaction costs
• Foreign currency bubbles
• The fundamental theorem of asset pricing for continuous processes under small transaction costs
• A super-replication theorem in Kabanov's model of transaction costs
• Markets with transaction costs. Mathematical theory.
• Hedging and liquidation under transaction costs in currency markets
• Finite bubbles with short sale constraints and asymmetric information
• Hedging of contingent claims and maximum price
• A general version of the fundamental theorem of asset pricing
• Rational equilibrium asset-pricing bubbles in continuous trading models
• Critical market crashes
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Financial asset price bubbles under model uncertainty
• Fragility of arbitrage and bubbles in local martingale diffusion models
• Consistent price systems and face-lifting pricing under transaction costs
• Local martingales, bubbles and option prices
• STRONG BUBBLES AND STRICT LOCAL MARTINGALES
• A Mathematical Theory of Financial Bubbles
• A liquidity-based model for asset price bubbles
• The Formation of Financial Bubbles in Defaultable Markets
• ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
• FORWARD AND FUTURES PRICES WITH BUBBLES
• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Churning Bubbles
• Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
• Admissible Trading Strategies Under Transaction Costs
• Liquidity Induced Asset Bubbles via Flows of ELMMs
• On the market viability under proportional transaction costs
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• How to Detect an Asset Bubble
• Bubbles and Crashes
• INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS
• Stochastic finance. An introduction in discrete time

This page was built for publication: Asset price bubbles in markets with transaction costs