Shifting martingale measures and the birth of a bubble as a submartingale

Biagini, Francesca ; Föllmer, Hans und Nedelcu, Sorin (2014): Shifting martingale measures and the birth of a bubble as a submartingale. In: Finance and Stochastics, Bd. 18, Nr. 2: S. 297-326

Abstract

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.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISSN: 0949-2984
• Sprache: Englisch