A note on asset bubbles in continuous-time
Informazioni aggiuntive
Autori
Tipo
Articolo pubblicato in rivista scientifica
Anno
2005
Lingua
Inglese
Sommario
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.
Parole chiave
Bubbles, arbitrage, finitely additive measures, fundamental theorem of asset
pricing, martingales
Periodico
International journal of theoretical and applied finance
Volume
8
Numero ( Mese )
4
Pagine (o numero dell’articolo)
523-536
Diffusione
Licenza
Licenza non definita
Visibilità
Pubblico
Status open access
Green
