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Award ID contains: 1714984

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  1. ; (, Mathematical Finance)
    Abstract This paper provides a new explanation for closed‐end fund (CEF) discounts and premiums using the local martingale theory of asset price bubbles. This is a rational asset pricing model that is shown to be consistent with the existing empirical evidence on CEF discounts/premiums. Additional testable implications of the model are derived, which await subsequent research for their resolution. This bubble theory also applies equally well to understanding discounts and premiums on exchange traded funds. 
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  2. ; ; (, Stochastic Processes and their Applications)
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  3. ; (, International Journal of Theoretical and Applied Finance)
    A strict local martingale is a local martingale that is not a martingale. We investigate how such a process might arise from a true martingale as a result of an enlargement of the filtration and a change of measure. We study and implement a particular type of enlargement, initial expansion of filtration, for stochastic volatility models with and without jumps and provide sufficient conditions in each of these cases such that initial expansion can create a strict local martingale. We provide examples of initial enlargement that effect this change. 
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  4. ; (, Stochastic Processes and their Applications)
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  5. ; (, International Review of Finance)
  6. ; (, International Review of Finance)
  7. ; ; ; ; (, ESAIM: Proceedings and Surveys)
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