Asymptotic asset pricing and bubbles
From MaRDI portal
Publication:1744206
DOI10.1007/s11579-017-0204-1zbMath1404.91115OpenAlexW2607945590MaRDI QIDQ1744206
Publication date: 16 April 2018
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-017-0204-1
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (2)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Non-Gaussian GARCH option pricing models and their diffusion limits
- Shifting martingale measures and the birth of a bubble as a submartingale
- Analysis of continuous strict local martingales via \(h\)-transforms
- On the concept of contiguity
- A general version of the fundamental theorem of asset pricing
- Augmented GARCH\((p,q)\) process and its diffusion limit
- Asymptotic arbitrage in large financial markets
- Rational equilibrium asset-pricing bubbles in continuous trading models
- Strict local martingale deflators and valuing American call-type options
- Weak convergence of financial markets.
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
- Strict local martingales and bubbles
- Weak tail conditions for local martingales
- Local martingales, bubbles and option prices
- A Fundamental Theorem of Asset Pricing for Large Financial Markets
- When Does Convergence of Asset Price Processes Imply Convergence of Option Prices?
- STRONG BUBBLES AND STRICT LOCAL MARTINGALES
- A Mathematical Theory of Financial Bubbles
- ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
- From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1
- Complications with stochastic volatility models
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
This page was built for publication: Asymptotic asset pricing and bubbles