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Fragility of arbitrage and bubbles in local martingale diffusion models · Study

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ArticleFragility of arbitrage and bubbles in local martingale diffusion models

Paolo Guasoni2015

Article2015

Fragility of arbitrage and bubbles in local martingale diffusion models

Paolo Guasoni · Miklós Rásonyi

26 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1994A general version of the fundamental theorem of asset pricing 1983Introduction to Stochastic Integration 1969Diffusion processes with continuous coefficients, I 2007The numéraire portfolio in semimartingale financial models 1995There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs 2010ASSET PRICE BUBBLES IN INCOMPLETE MARKETS 2005Local martingales, bubbles and option prices

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2011Optimal Trading Strategies Under Arbitragearticle · 16 shared references 2013Shifting martingale measures and the birth of a bubble as a submartingalearticle · 11 shared references 2013On the hedging of options on exploding exchange ratesarticle · 10 shared references 2016STRONG BUBBLES AND STRICT LOCAL MARTINGALESarticle · 10 shared references 2010Analysis of continuous strict local martingales via h -transformsarticle · 9 shared references 2013A Mathematical Theory of Financial Bubbleschapter · 8 shared references

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Year2015

Typearticle

Published2015-01-28

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations26

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-015-0256-0

openalex_workW2019898323

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