Financial asset price bubbles under model uncertainty
Abstract We study the concept of financial bubbles in a market model endowed with a set P ${\mathcal {P}}$ of probability measures, typically mutually singular to each other. In this setting, we investigate a dynamic version of robust superreplication, which we use to introduce the notions of bubble...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
SpringerOpen
2017-12-01
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Series: | Probability, Uncertainty and Quantitative Risk |
Subjects: | |
Online Access: | http://link.springer.com/article/10.1186/s41546-017-0026-3 |