Strict local martingales and optimal investment in a Black–Scholes model with a bubble
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Publication:5743124
DOI10.1111/mafi.12175zbMath1411.91506arXiv1711.06679MaRDI QIDQ5743124
Martin Herdegen, Sebastian Herrmann
Publication date: 8 May 2019
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1711.06679
utility maximization; bubbles; optimal investment; power utility; strict local martingales; JLS model