Testing for asset price bubbles using options data
Nicola Fusari, Robert Jarrow, and Sujan Lamichhane
| Year of publication: |
2025
|
|---|---|
| Authors: | Fusari, Nicola ; Jarrow, Robert A. ; Lamichhane, Sujan |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 43.2025, 4, p. 807-821
|
| Subject: | Asset price bubbles | Local martingales | Martingales | Option pricing | Stochastic volatility | Spekulationsblase | Bubbles | Martingal | Martingale | Optionspreistheorie | Option pricing theory | Börsenkurs | Share price | CAPM | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2024.2429470 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015534422