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The Martingale Theory of Bubbles : Implications for the Valuation of Derivatives and Detecting Bubbles

Jarrow, Robert A. - 2010

The martingale theory of bubbles studies the existence and characterization of asset price bubbles in continuous time and continuous trading economies under both the no arbitrage (no free lunch vanishing risk) and no dominance hypotheses. We review this theory, with an emphasis on understanding...

Persistent link: https://www.econbiz.de/10013143613

Liquidity risk and option pricing theory

Jarrow, Robert A.; Protter, Philip E. - In: Financial engineering, (pp. 727-762). 2008

Persistent link: https://www.econbiz.de/10003567782

Complete markets with discontinuous security price

Dritschel, Michael; Protter, Philip - In: Finance and stochastics 3 (1999) 2, pp. 203-214

Persistent link: https://www.econbiz.de/10001367323

From discrete- to continuous-time finance : weak convergence of the financial gain process

Duffie, Darrell - In: Mathematical finance : an international journal of … 2 (1992) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10001185155

An analysis of a least squares regression method for American option pricing

Clément, Emmanuelle; Lamberton, Damien; Protter, Philip - In: Finance and stochastics 6 (2002) 4, pp. 449-471

Persistent link: https://www.econbiz.de/10001702781

Risk-neutral compatibility with option prices

Jacod, Jean; Protter, Philip E. - In: Finance and stochastics 14 (2010) 2, pp. 285-315

Persistent link: https://www.econbiz.de/10003951511

An analysis of the supply curve for liquidity risk through book data

Blais, Marcel; Protter, Philip E. - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 821-838

Persistent link: https://www.econbiz.de/10008905116

The no-arbitrage pricing of non-traded assets

Jarrow, Robert A. - In: Annals of finance 19 (2023) 3, pp. 401-418

Persistent link: https://www.econbiz.de/10014380572

Convenience yields

Jarrow, Robert A. - In: Review of derivatives research 13 (2010) 1, pp. 25-43

Persistent link: https://www.econbiz.de/10008695502

Financial derivatives pricing : selected works of Robert Jarrow

Jarrow, Robert A. - 2008

Persistent link: https://www.econbiz.de/10003765886

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