Financial asset price bubbles under model uncertainty

Biagini, Francesca and Mancin, Jacopo (2017): Financial asset price bubbles under model uncertainty. In: Probability, Uncertainty and Quantitative Risk, Vol. 2, No. 1, 14

Abstract

We study the concept of financial bubbles in a market model endowed with a set P of probability measures, typically mutually singular to each other. In this setting, we investigate a dynamic version of robust superreplication, which we use to introduce the notions of bubble and robust fundamental value in a way consistent with the existing literature in the classical case P = {P}. Finally, we provide concrete examples illustrating our results

• Item Type: Journal article
• Faculties: Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics
• Subjects: 500 Science > 510 Mathematics
• ISSN: 2367-0126
• Language: English