Workgroup Financial Mathematics
print


Breadcrumb Navigation


Content

Consistent prices for bubbles

Suppose we are given a set of traded call prices. When is there no arbitrage in those prices, or to put it another way, when is there a model which is consistent with those prices? The answer to this question is well understood in the setting where the asset is a martingale. But what if the asset is merely a local martingale? The strict local martingale case is the subject of the talk.

Joint work with Martin Kllimmek and Alex Cox.