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- W1569195217 abstract "We show pathological behavior of asset price processes modeled by continuous strict local martingales under a risk-neutral measure. The inspiration comes from recent results on nancial bubbles. We analyze, in particular, the eect of the strict nature of the local martingale on the usual formula for the price of a European call option, especially a strong anomaly when call prices decay monotonically with maturity. A complete and detailed analysis for the archetypical strict local martingale, the reciprocal of a three dimensional Bessel process, has been provided. Our main tool is based on a general h-transform technique (due to Delbaen and Schachermayer) to generate positive strict local martingales. This gives the basis for a statistical test to verify a suspected bubble is indeed one (or not)." @default.
- W1569195217 created "2016-06-24" @default.
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- W1569195217 date "2007-11-07" @default.
- W1569195217 modified "2023-09-27" @default.
- W1569195217 title "Strict Local Martingales, Bubbles, and No Early Exercise" @default.
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