Financial asset price bubbles under model uncertainty

DOI10.1186/s41546-017-0026-3zbMath1443.91305OpenAlexW2778124552WikidataQ59602777 ScholiaQ59602777MaRDI QIDQ2296108

Francesca Biagini, Jacopo Mancin

Publication date: 17 February 2020

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s41546-017-0026-3

zbMATH Keywords

model uncertaintyfinancial bubbles

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

A risk-neutral equilibrium leading to uncertain volatility pricing ⋮ Reduced-form framework under model uncertainty ⋮ Asset price bubbles in markets with transaction costs

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