Originalversjon
Probability, Uncertainty and Quantitative Risk. 2017, DOI: http://dx.doi.org/10.1186/s41546-017-0026-3
Sammendrag
We study the concept of financial bubbles in a market model endowed with a set 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 P={P}. Finally, we provide concrete examples illustrating our results.