{
  "id": "1108.4177",
  "version": "v3",
  "published": "2011-08-21T10:29:42.000Z",
  "updated": "2015-06-19T06:58:23.000Z",
  "title": "Strict local martingales and bubbles",
  "authors": [
    "Constantinos Kardaras",
    "Dörte Kreher",
    "Ashkan Nikeghbali"
  ],
  "comment": "Published at http://dx.doi.org/10.1214/14-AAP1037 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)",
  "journal": "Annals of Applied Probability 2015, Vol. 25, No. 4, 1827-1867",
  "doi": "10.1214/14-AAP1037",
  "categories": [
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2013-10-27T22:53:39.000Z",
      "title": "Strict local martingales, bubbles",
      "abstract": "This paper deals with asset price bubbles modeled by strict local martingales. To 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.",
      "comment": null,
      "journal": null,
      "doi": null,
      "authors": [
        "Constantinos Kardaras",
        "Doerte Kreher",
        "Ashkan Nikeghbali"
      ]
    },
    {
      "version": "v3",
      "updated": "2015-06-19T06:58:23.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "strict local martingale",
      "risk-neutral option prices",
      "path dependent options",
      "passage time formulas",
      "first part"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2011arXiv1108.4177K"
    }
  }
}