A note on asset bubbles in continuous-time
Additional information
Authors
Type
Journal Article
Year
2005
Language
English
Abstract
In this paper we propose a model of asset prices consistent with the no-arbitrage principle but allowing for the existence of "bubbles". The structure of bubbles is explicitly characterized and we show that, for example, they may be of either sign. Furthermore, we discuss the existence of bubbles under alternative definitions of absence of arbitrage opportunities.
Keywords
Bubbles, arbitrage, finitely additive measures, fundamental theorem of asset
pricing, martingales
Journal
International journal of theoretical and applied finance
Volume
8
Number ( Month )
4
Pages (or article number)
523-536
Diffusion
License
License undefined
Visibility
Public
Status open access
Green
