Shifting martingale measures and the birth of a bubble as a submartingale
Francesca Biagini; Hans Föllmer; Sorin Nedelcu
| Year of publication: |
2014
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|---|---|
| Authors: | Biagini, Francesca ; Föllmer, Hans ; Nedelcu, Sorin |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 18.2014, 2, p. 297-326
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| Subject: | Bubbles | Strict local martingales | Submartingales | Equivalent martingale measures | Stochastic volatility | Spekulationsblase | Martingal | Martingale | Theorie | Theory | CAPM | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010340747