The economic plausibility of strict local martingales in financial modelling
DOI10.1007/978-3-642-03479-4_4zbMATH Open1217.91169OpenAlexW2098456806MaRDI QIDQ3000876FDOQ3000876
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
Recommendations
Bessel processstrict local martingalereal world pricingbond price bubbleinverse Bessel process in dimension threesecurity price bubble
Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Martingales with continuous parameter (60G44)
Cited In (16)
- ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE
- Relative asset price bubbles
- Strict local martingales with jumps
- Diffusion-Based Models for Financial Markets Without Martingale Measures
- A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing
- Weak tail conditions for local martingales
- Strict local martingales and the Khasminskii test for explosions
- Arbitrage problems with reflected geometric Brownian motion
- STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT
- Hedging for the long run
- THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL
- Arbitrage possibilities in Bessel processes and their relations to local martingales
- Valuation and Parities for Exchange Options
- Strict local martingales and bubbles
- A Mathematical Theory of Financial Bubbles
- Local prelimit theorems and their applications to finance
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