Martingale defects in the volatility surface and bubble conditions in the underlying

DOI10.1007/S11147-023-09200-XMaRDI QIDQ6549861zbMATH OpenFDO

Authors Philip Stahl, Jérôme Blauth

Publication date 4 June 2024

Published in Review of Derivatives Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S11147-023-09200-X

zbMATH Keywords

martingale defectSABR modelstock price bubblesstrict local martingales

Mathematics Subject Classification ID

Martingales and classical analysis (60G46) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A general version of the fundamental theorem of asset pricing
• A Simplex Method for Function Minimization
• Asset price bubbles in incomplete markets
• Dark Matter in (Volatility and) Equity Option Risk Premiums
• How to detect an asset bubble
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Idiosyncratic volatility, option-based measures of informed trading, and investor attention
• Local martingales, arbitrage, and viability. Free snacks and cheap thrills
• Local martingales, bubbles and option prices
• On estimating the diffusion coefficient from discrete observations
• Option pricing: A simplified approach
• Positive alphas, abnormal performance, and illusory arbitrage
• Shifting martingale measures and the birth of a bubble as a submartingale
• Simple Finite Horizon Bubbles Robust to Higher Order Knowledge

Cited in

(1)

• Digital assets, bubbles, and derivative prices

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