Reference : Shifting Martingale Measures and the Birth of a Bubble as a Submartingale
Scientific journals : Article
Physical, chemical, mathematical & earth Sciences : Mathematics
http://hdl.handle.net/10993/15715
Shifting Martingale Measures and the Birth of a Bubble as a Submartingale
English
Föllmer, Hans mailto [University of Luxembourg > Faculty of Science, Technology and Communication (FSTC) > Mathematics Research Unit > ; Humboldt-Universität zu Berlin > Institut für Mathematik]
Biagini, Francesca [Ludwig-Maximilians Universität, Munich, Germany > Department of Mathematics]
Nedelcu, Sorin [Humboldt Universität zu Berlin, Germany > Department of Mathematics]
Apr-2014
Finance and Stochastics
Springer Science & Business Media B.V.
18
2
297-326
Yes (verified by ORBilu)
International
0949-2984
1432-1122
[en] In an incomplete financial market model, we study a flow in the space of
equivalent martingale measures and the corresponding shifting perception of the fundamental
value of a given asset. This allows us to capture the birth of a perceived
bubble and to describe it as an initial submartingale which then turns into a supermartingale
before it falls back to its initial value zero.
http://hdl.handle.net/10993/15715
10.1007/s00780-013-0221-8

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