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

DOI10.1111/MAFI.12207MaRDI QIDQ5204855zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

asset price bubblesno arbitrageclosed-end fundsETFs

Mathematics Subject Classification ID

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

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• The market pricing of the lifeboat provision in a closed-end fund

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