A liquidity-based model for asset price bubbles (Q2873554): Difference between revisions

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+Robert A. Jarrow
@@ Property / author: Robert A. Jarrow / rank @@
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+Philip E. Protter
@@ Property / author: Philip E. Protter / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/14697688.2011.620976
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+W3124677603
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@@ Property / cites work @@
+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
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@@ Property / cites work @@
+AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA
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@@ Property / cites work @@
+Liquidity risk and arbitrage pricing theory
@@ Property / cites work: Liquidity risk and arbitrage pricing theory / rank @@
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@@ Property / cites work @@
+Local martingales, bubbles and option prices
@@ Property / cites work: Local martingales, bubbles and option prices / rank @@
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+The fundamental theorem of asset pricing for unbounded stochastic processes
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@@ Property / cites work @@
+Bubbles, convexity and the Black-Scholes equation
@@ Property / cites work: Bubbles, convexity and the Black-Scholes equation / rank @@
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@@ Property / cites work @@
+Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
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@@ Property / cites work @@
+Martingales and stochastic integrals in the theory of continuous trading
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@@ Property / cites work @@
+ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
@@ Property / cites work: ASSET PRICE BUBBLES IN INCOMPLETE MARKETS / rank @@
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@@ Property / cites work @@
+Continuous Auctions and Insider Trading
@@ Property / cites work: Continuous Auctions and Insider Trading / rank @@
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@@ Property / cites work @@
+Rational equilibrium asset-pricing bubbles in continuous trading models
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@@ Property / cites work @@
+Analysis of continuous strict local martingales via \(h\)-transforms
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@@ Property / cites work @@
+Liquidity risk, price impacts and the replication problem
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@@ Property / cites work @@
+Order book approach to price impact
@@ Property / cites work: Order book approach to price impact / rank @@
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