Bubbles in discrete-time models

DOI10.1007/s00780-022-00487-6zbMath1498.91417arXiv2104.12740OpenAlexW3165806834MaRDI QIDQ2675818

Martin Herdegen, Dörte Kreher

Publication date: 26 September 2022

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.12740

zbMATH Keywords

Volterra integral equationbubblestrict local martingaleMarkov martingale

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Volterra integral equations (45D05) Financial markets (91G15)

Cites Work

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