A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory

DOI10.1111/MAFI.12207zbMATH Open1435.91187OpenAlexW2604226520MaRDI QIDQ5204855FDOQ5204855

Authors: Robert A. Jarrow, Philip Protter 

Publication date: 5 December 2019

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12207

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zbMATH Keywords

asset price bubblesno arbitrageclosed-end fundsETFs

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (4)

• Activist arbitrage, lifeboats, and closed-end funds
• THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE
• A panel data analysis of factors affect closed-end fund discount in China
• The market pricing of the lifeboat provision in a closed-end fund

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