Asset price bubbles in incomplete markets
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Publication:3553253
DOI10.1111/J.1467-9965.2010.00394.XzbMATH Open1205.91069OpenAlexW3121256017MaRDI QIDQ3553253FDOQ3553253
Authors: Kazuhiro Shimbo, Robert A. Jarrow, Philip Protter 
Publication date: 22 April 2010
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00394.x
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Generalizations of martingales (60G48) Financial applications of other theories (91G80)
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- Worst-case optimal investment with a random number of crashes
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- Strict local martingales via filtration enlargement
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