Jarrow, Robert A.; Protter, Philip; Roch, Alexandre F. - In: Quantitative Finance 12 (2012) 9, pp. 1339-1349
We provide a new liquidity-based model for financial asset price bubbles that explains bubble formation and bubble bursting. The martingale approach to modeling price bubbles assumes that the asset's market price process is exogenous and the fundamental price, the expected future cash flows...