A Stochastic Tree for Bubble Asset Modelling and Pricing
提出一种新的随机树表示法，用于对商品和加密货币市场的投机泡沫进行建模、预测和定价，并推导出欧式期权的准封闭式定价公式。
ABSTRACT We introduce a new stochastic tree representation of a strictly stationary submartingale process for modelling, forecasting, and pricing speculative bubbles on commodity and cryptocurrency markets. The model is compared to other trees proposed in the literature on bubble asset modelling and stochastic volatility approximation. We show that the proposed model is an extension of the well‐known Blanchard‐Watson bubble. The model provides (quasi) closed‐form pricing formulas for European options, which are derived and illustrated.