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Kardaras, Constantinos; Kreher, Dörte; Nikeghbali, Ashkan (2015). Strict local martingales and bubbles. Annals of Applied Probability, 25(4):1827-1867.
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: | Journal Article, refereed, original work |
|---|---|
| Communities & Collections: | 07 Faculty of Science > Institute of Mathematics |
| Dewey Decimal Classification: | 510 Mathematics |
| Scopus Subject Areas: | Physical Sciences > Statistics and Probability
Social Sciences & Humanities > Statistics, Probability and Uncertainty |
| Language: | English |
| Date: | 21 May 2015 |
| Deposited On: | 14 Jan 2016 11:03 |
| Last Modified: | 13 Mar 2025 02:37 |
| Publisher: | Institute of Mathematical Statistics |
| ISSN: | 1050-5164 |
| OA Status: | Closed |
| Free access at: | Publisher DOI. An embargo period may apply. |
| Publisher DOI: | https://doi.org/10.1214/14-AAP1037 |
| Related URLs: | http://projecteuclid.org/euclid.aoap/1432212431 (Organisation) |
Kardaras, Constantinos