This paper studies asset price bubbles in a continuous time model using the local martingale framework. Providing careful definitions of the asset's market and fundamental price, we characterize all possible price bubbles in an incomplete market satisfying the "no free lunch with vanishing risk...

This paper derives an equilibrium asset pricing model with liquidity risk. Liquidity risk is modeled as a stochastic quantity impact on the price from trading, where the size of the impact depends on trade size. Under a mild set of assumptions, we prove that an equilibrium price process exists...