Financial asset price bubbles under model uncertainty
Tóm tắt
We study the concept of financial bubbles in a market model endowed with a set
${\mathcal {P}}$
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 and robust fundamental value in a way consistent with the existing literature in the classical case
${\mathcal {P}}=\{{\mathbb {P}}\}$
. Finally, we provide concrete examples illustrating our results.
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