The Economic Plausibility of Strict Local Martingales in Financial Modelling
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Publication:3000876
DOI10.1007/978-3-642-03479-4_4zbMath1217.91169OpenAlexW2098456806MaRDI QIDQ3000876
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
Bessel processstrict local martingalereal world pricingbond price bubbleinverse Bessel process in dimension threesecurity price bubble
Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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