Strict local martingales and bubbles

DOI10.1214/14-AAP1037zbMath1336.91076arXiv1108.4177MaRDI QIDQ2354886

Constantinos Kardaras, Dörte Kreher, Ashkan Nikeghbali

Publication date: 27 July 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.4177

zbMATH Keywords

asset price bubblesreal-world pricingpricing of derivativesequivalent local martingale measurepositive strict local martingale

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Continuity and singularity of induced measures (60G30) Actuarial science and mathematical finance (91G99)

Related Items (24)

Uniqueness in Cauchy problems for diffusive real-valued strict local martingales ⋮ Scaled insurance cash flows: representation and computation via change of measure techniques ⋮ Diffusion transformations, Black-Scholes equation and optimal stopping ⋮ Relative asset price bubbles ⋮ A reading guide for last passage times with financial applications in view ⋮ Arbitrage and utility maximization in market models with an insider ⋮ The existence of dominating local martingale measures ⋮ Bubbles in discrete-time models ⋮ Strict local martingales: examples ⋮ A risk-neutral equilibrium leading to uncertain volatility pricing ⋮ On arbitrages arising with honest times ⋮ Absolute continuity of semimartingales ⋮ On the hedging of options on exploding exchange rates ⋮ Risk measures for processes and BSDEs ⋮ Implied Volatility in Strict Local Martingale Models ⋮ A new kind of augmentation of filtrations suitable for a change of probability measure by a strict local martingale ⋮ Asymptotic asset pricing and bubbles ⋮ The lifetime of a financial bubble ⋮ Strict local martingales with jumps ⋮ Filtration shrinkage, strict local martingales and the Föllmer measure ⋮ Supermartingales as Radon-Nikodym densities and related measure extensions ⋮ A Mathematical Theory of Financial Bubbles ⋮ Market Models with Optimal Arbitrage ⋮ Valuation and Parities for Exchange Options

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