  This paper deals with asset price bubbles modeled by strict local
martingales. With any strict local martingale, one can associate a new measure,
which is studied in detail in the first part of the paper. In the second part,
we determine the "default term" apparent in risk-neutral option prices if the
underlying stock exhibits a bubble modeled by a strict local martingale.
Results for certain path dependent options and last passage time formulas are
given.
