Shifting martingale measures and the birth of a bubble as a submartingale
DOI10.1007/S00780-013-0221-8zbMATH Open1336.91089OpenAlexW2138588791MaRDI QIDQ468413FDOQ468413
Francesca Biagini, Hans Föllmer, Sorin Nedelcu
Publication date: 7 November 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: http://orbilu.uni.lu/handle/10993/15715
Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)
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Cited In (21)
- Relative asset price bubbles
- Financial asset price bubbles under model uncertainty
- Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
- Liquidity Induced Asset Bubbles via Flows of ELMMs
- Strict local martingales and the Khasminskii test for explosions
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- The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time
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- INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS
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- A risk-neutral equilibrium leading to uncertain volatility pricing
- Asset price bubbles in markets with transaction costs
- Martingale defects in the volatility surface and bubble conditions in the underlying
- A Mathematical Theory of Financial Bubbles
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