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A note on asset bubbles in continuous-time
Cassese, Gianluca - 2001
Persistent link: https://www.econbiz.de/10001577334
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Asymptotic asset pricing and bubbles
Roch, Alexandre - In: Mathematics and financial economics 12 (2018) 2, pp. 275-304
Persistent link: https://www.econbiz.de/10011963853
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No arbitrage in continuous financial markets
Criens, David - In: Mathematics and financial economics 14 (2020) 3, pp. 461-506
Persistent link: https://www.econbiz.de/10012240304
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Asset pricing with arbitrage activity
Hugonnier, Julien; Prieto, Rodolfo - 2013
We study an economy populated by three groups of logarithmic agents: Constrained agents subject to a portfolio constraint that limits their risk-taking, unconstrained agents subject to a standard nonnegative wealth constraint, and arbitrageurs with access to uncollateralized credit. Such credit...
Persistent link: https://www.econbiz.de/10010257492
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Asset pricing with arbitrage activity
Hugonnier, Julien; Prieto, Rodolfo - In: Journal of financial economics 115 (2015) 2, pp. 411-428
Persistent link: https://www.econbiz.de/10011347464
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Asset pricing in an imperfect world
Cassese, Gianluca - In: Economic theory : official journal of the Society for … 64 (2017) 3, pp. 539-570
Persistent link: https://www.econbiz.de/10011740670
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Simple arbitrage theory
Cassese, Gianluca - 2002
Persistent link: https://www.econbiz.de/10001662694
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Marktgerechte Bewertung von Optionen
Brunner, Bernhard - 2004 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001932584
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Shifting martingale measures and the birth of a bubble as a submartingale
Biagini, Francesca; Föllmer, Hans; Nedelcu, Sorin - In: Finance and stochastics 18 (2014) 2, pp. 297-326
Persistent link: https://www.econbiz.de/10010340747
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Applying the local martingale theory of bubbles to cryptocurrencies
Choi, Soon Hyeok; Jarrow, Robert A. - In: International journal of theoretical and applied … 25 (2022) 3, pp. 1-25
Persistent link: https://www.econbiz.de/10013371053