Shifting martingale measures and the birth of a bubble as a submartingale
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...
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Veröffentlicht in: | Finance and stochastics 2014-04, Vol.18 (2), p.297-326 |
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Hauptverfasser: | , , |
Format: | Artikel |
Sprache: | eng |
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Online-Zugang: | Volltext |
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Zusammenfassung: | 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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ISSN: | 0949-2984 1432-1122 |
DOI: | 10.1007/s00780-013-0221-8 |