Asset price bubbles in incomplete markets
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Publication:3553253
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- Relative asset price bubbles
- Applying the local martingale theory of bubbles to cryptocurrencies
- Negative call prices
- The comparative statics on asset prices based on bull and bear market measure
- Bubbles and multiple-factor asset pricing models
- Inefficient bubbles and efficient drawdowns in financial markets
- Forward and futures prices with bubbles
- Informational efficiency under short sale constraints
- A self-exciting threshold jump-diffusion model for option valuation
- Local martingales, bubbles and option prices
- Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics
- Strong bubbles and strict local martingales
- Market Models with Optimal Arbitrage
- Asset price bubbles in complete markets
- Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
- Worst-case portfolio optimization in a market with bubbles
- Strict local martingales via filtration enlargement
- Arbitrage, Bubbles, and Valuation
- A simple discrete-time approximation of continuous-time bubbles
- Strict local martingales: examples
- Hedging under arbitrage
- Asset price bubbles from poorly aggregated information: a parametric example
- Outperforming the market portfolio with a given probability
- Strict local martingales with jumps
- The economic plausibility of strict local martingales in financial modelling
- Filtration shrinkage, strict local martingales and the Föllmer measure
- Bubbles in discrete-time models
- On valuing stochastic perpetuities using new long horizon stock price models distinguishing booms, busts, and balanced markets
- The Formation of Financial Bubbles in Defaultable Markets
- Asset price bubbles: invariance theorems
- Weak tail conditions for local martingales
- Asymptotic asset pricing and bubbles
- Financial asset price bubbles under model uncertainty
- Financial asset bubbles in banking networks
- Strict local martingale deflators and valuing American call-type options
- No arbitrage conditions for simple trading strategies
- On the regularity of American options with regime-switching uncertainty
- Probabilistic aspects of finance
- Asset trading under non-classical ambiguity and heterogeneous beliefs
- Analysis of continuous strict local martingales via \(h\)-transforms
- Options prices in incomplete markets
- The existence of dominating local martingale measures
- A mathematical theory of financial bubbles
- The effect of trading futures on short sale constraints
- Foreign currency bubbles
- Fundamental bubbles in equity markets
- Robust pricing and hedging under trading restrictions and the emergence of local martingale models
- BENCHMARKED RISK MINIMIZATION
- A risk-neutral equilibrium leading to uncertain volatility pricing
- Diffusion-based models for financial markets without martingale measures
- A liquidity-based model for asset price bubbles
- Robust asset prices with bubbles
- Bubble measures in experimental asset markets
- Asset price bubbles in markets with transaction costs
- Liquidity induced asset bubbles via flows of ELMMs
- Asset price bubbles in Arrow-Debreu and sequential equilibrium
- Detecting bubbles in bitcoin price dynamics via \textit{market exuberance}
- Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
- The lifetime of a financial bubble
- Shifting martingale measures and the birth of a bubble as a submartingale
- No-bubble condition: model-free tests in housing markets
- Convenience yields
- Fragility of arbitrage and bubbles in local martingale diffusion models
- A dysfunctional role of high frequency trading in electronic markets
- Valuation and parities for exchange options
- Arbitrage theory with state-price deflators
- A nonuniformly integrable martingale bubble with a crash
- Liquidity Based Modeling of Asset Price Bubbles via Random Matching
- No-arbitrage in a numéraire-independent modeling framework
- Martingale defects in the volatility surface and bubble conditions in the underlying
- Asset price bubbles, wealth preserving, dominating, and replicating trading strategies
- Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set
- An approach to the absence of price bubbles through state-price deflators
- Exploiting arbitrage requires short selling
- Worst-case optimal investment with a random number of crashes
- Conditions for bubbles to arise under heterogeneous beliefs
- Dupire's equation for bubbles
- Strict local martingales and optimal investment in a Black-Scholes model with a bubble
- Detecting asset price bubbles using deep learning
- A study on asset price bubble dynamics: explosive trend or quadratic variation?
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