Kardaras, Constantinos 
ORCID: 0000-0001-6903-4506, Kreher, Dörte and Nikeghbali, Ashkan
(2015)
Strict local martingales and bubbles.
Annals of Applied Probability, 25 (4).
pp. 1827-1867.
ISSN 1050-5164
|
PDF
- Published Version
Download (430kB) | Preview |
Identification Number: https://doi.org/10.1214/14-AAP1037
Abstract
This paper deals with asset price bubbles modeled by strict local martingales. With any strict local martingale, one can associate a new measure, which is studied in detail in the first part of the paper. In the second part, we determine the “default term” apparent in risk-neutral option prices if the underlying stock exhibits a bubble modeled by a strict local martingale. Results for certain path dependent options and last passage time formulas are given.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.imstat.org/aap/ |
| Additional Information: | © 2015 Institute of Mathematical Statistics |
| Divisions: | Statistics |
| Subjects: | H Social Sciences > HA Statistics |
| Date Deposited: | 14 Jan 2016 10:58 |
| Last Modified: | 02 Feb 2025 18:24 |
| URI: | http://eprintstest.lse.ac.uk/id/eprint/64967 |
Actions (login required)
 |
View Item |
