The economic plausibility of strict local martingales in financial modelling

DOI10.1007/978-3-642-03479-4_4zbMATH Open1217.91169OpenAlexW2098456806MaRDI QIDQ3000876FDOQ3000876

Authors: 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

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zbMATH Keywords

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

Mathematics Subject Classification ID

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

Cited In (19)

• Diffusion-based models for financial markets without martingale measures
• ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE
• Relative asset price bubbles
• Strict local martingales with jumps
• The small and large time implied volatilities in the minimal market model
• Valuation and parities for exchange options
• A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing
• Weak tail conditions for local martingales
• Robust pricing and hedging under trading restrictions and the emergence of local martingale models
• Strict local martingales and the Khasminskii test for explosions
• Arbitrage problems with reflected geometric Brownian motion
• Hedging for the long run
• A mathematical theory of financial bubbles
• Arbitrage possibilities in Bessel processes and their relations to local martingales
• Fragility of arbitrage and bubbles in local martingale diffusion models
• Strict local martingales and bubbles
• Strong bubbles and strict local martingales
• Local prelimit theorems and their applications to finance
• Strict local martingales via filtration enlargement

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