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...

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Bibliographic Details
Main Authors: Francesca Biagini, Jacopo Mancin
Format: Article
Language:English
Published: SpringerOpen 2017-12-01
Series:Probability, Uncertainty and Quantitative Risk
Subjects:
Online Access:http://link.springer.com/article/10.1186/s41546-017-0026-3