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 ![]() | |
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 |
File(s) associated to this reference | ||||||||||||||
Fulltext file(s):
| ||||||||||||||
All documents in ORBilu are protected by a user license.