The Martingale Theory of Bubbles : Implications for the Valuation of Derivatives and Detecting Bubbles

The martingale theory of bubbles studies the existence and characterization of asset price bubbles in continuous time and continuous trading economies under both the no arbitrage (no free lunch vanishing risk) and no dominance hypotheses. We review this theory, with an emphasis on understanding its implications for the valuation of derivatives and detecting asset price bubbles

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Year of publication:	2010
Authors:	Jarrow, Robert A.
Other Persons:	Protter, Philip (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Spekulationsblase \| Bubbles \| Derivat \| Derivative \| Martingal \| Martingale \| Optionspreistheorie \| Option pricing theory

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Extent:	1 Online-Ressource (19 p)
Series:	Johnson School Research Paper Series ; No. 25-2010
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 10, 2010 erstellt
Other identifiers:	10.2139/ssrn.1604175 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013143613