[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.
Disciplines :
Mathematics
Author, co-author :
Föllmer, Hans ; 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
Language :
English
Title :
Shifting Martingale Measures and the Birth of a Bubble as a Submartingale
