A NOTE ON ASSET BUBBLES IN CONTINUOUS-TIME

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.

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Year of publication:	2005
Authors:	CASSESE, GIANLUCA
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 08.2005, 04, p. 523-536
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Bubbles \| arbitrage \| finitely additive measures \| fundamental theorem of asset pricing \| martingales

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004971810