STRICT LOCAL MARTINGALES AND BUBBLES

• 成果类型: Article
• 署名作者: Kardaras, Constantinos; Kreher, Doerte; Nikeghbali, Ashkan
• 署名单位: University of London; London School Economics & Political Science; Humboldt University of Berlin; University of Zurich; University of Zurich
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/14-AAP1037
• 发表日期: 2015
• 页码: 1827-1867
• 关键词: itos integrated formula; Asset price bubbles

摘要

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.