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