Relative asset price bubbles

DOI10.1007/S10436-016-0274-8MaRDI QIDQ315462zbMATH OpenOpenAlexFDO

Authors Roseline Bilina Falafala, Robert A. Jarrow, Philip Protter

Publication date 21 September 2016

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-016-0274-8

zbMATH Keywords

bubblerisk neutral measurearbitragebond bubblesGirsanov's theoremno free lunch with vanishing riskchange of numéraire

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with continuous parameter (60G44)

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Cites work

• scientific article; zbMATH DE number 1240555 (Why is no real title available?)
• scientific article; zbMATH DE number 927094 (Why is no real title available?)
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• Dynamics of bankrupt stocks
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• Local martingales, bubbles and option prices
• No arbitrage condition for positive diffusion price processes
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Cited in

(7)

• Toxic asset bubbles
• Fundamental bubbles in equity markets
• The Formation of Financial Bubbles in Defaultable Markets
• An approach to the absence of price bubbles through state-price deflators
• On the dynamics of stock price bubbles: comments on a model by Miao and Wang
• Robust asset prices with bubbles
• Forward and futures prices with bubbles

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