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Risk premia, asset price bubbles, and monetary policy

Jarrow, Robert A.; Lamichhane, Sujan - In: Journal of financial stability 60 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013455970

Asset Price Bubbles in Incomplete Markets

Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro - 2007

theory for bubble birth which involves a nontrivial modification of the classical martingale pricing framework. This … within the classical theory. Finally, we investigate the pricing of derivative securities in the presence of asset price … in contrast to those of the classical theory. We propose, but do not implement, some new tests for the existence of asset …

Persistent link: https://www.econbiz.de/10014223725

Applying the local martingale theory of bubbles to cryptocurrencies

Choi, Soon Hyeok; Jarrow, Robert A. - In: International journal of theoretical and applied … 25 (2022) 3, pp. 1-25

Persistent link: https://www.econbiz.de/10013371053

A Liquidity Based Model for Asset Price Bubbles

Protter, Philip - 2011

We provide a new liquidity based model for financial asset price bubbles that explains bubble formation and bubble bursting. The martingale approach (Cox and Hobson (2005), Jarrow et al. (2007)) to modeling price bubbles assumes that the asset's market price process is exogenous and the...

Persistent link: https://www.econbiz.de/10013133862

A study on asset price bubble dynamics : explosive trend or quadratic variation?

Jarrow, Robert A.; Kwok, Simon Sai Man - In: Quantitative finance 24 (2024) 5, pp. 613-626

Persistent link: https://www.econbiz.de/10014552111