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Strict local martingales and optimal investment in a Black–Scholes model with a bubble - MaRDI portal

Strict local martingales and optimal investment in a Black–Scholes model with a bubble (Q5743124)

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scientific article; zbMATH DE number 7052628
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English
Strict local martingales and optimal investment in a Black–Scholes model with a bubble
scientific article; zbMATH DE number 7052628

    Statements

    title
    Strict local martingales and optimal investment in a Black–Scholes model with a bubble (English)
    0 references
    DOI
    10.1111/mafi.12175
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    author
    Martin Herdegen
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    Sebastian Herrmann
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    publication date
    8 May 2019
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    Mathematics Subject Classification ID
    91G10
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    60G44
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    91B16
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    zbMATH DE Number
    7052628
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    zbMATH Keywords
    bubbles
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    JLS model
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    optimal investment
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    power utility
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    strict local martingales
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    utility maximization
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    OpenAlex ID
    W3123538880
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    arXiv ID
    1711.06679
    0 references
     
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