An explosion time characterization of asset price bubbles
Robert A. Jarrow, Simon S. Kwok
| Year of publication: |
2023
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|---|---|
| Authors: | Jarrow, Robert A. ; Kwok, Simon Sai Man |
| Published in: |
International review of finance : the official journal of the Asia Pacific Finance Association and the Nippon Finance Association. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1468-2443, ZDB-ID 2034475-2. - Vol. 23.2023, 2, p. 469-479
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| Subject: | asset price bubble | explosion time | local volatility | quadratic variation | risk-neutral probability measure | semimartingale | Spekulationsblase | Bubbles | Volatilität | Volatility | Börsenkurs | Share price | CAPM | Martingal | Martingale | Optionspreistheorie | Option pricing theory |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/irfi.12404 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014326312