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

نویسندگان

  • Francesca Biagini
  • Hans Föllmer
  • Sorin Nedelcu
چکیده

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.

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عنوان ژورنال:
  • Finance and Stochastics

دوره 18  شماره 

صفحات  -

تاریخ انتشار 2014