Testing for Asset Price Bubbles Using Options Data

DOI10.1080/07350015.2024.2429470MaRDI QIDQ7229778zbMATH OpenFDO

Authors Nicola Fusari, Robert A. Jarrow, Sujan Lamichhane

Publication date 17 April 2026

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2024.2429470

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Alternative models for stock price dynamics.
• Asset price bubbles in incomplete markets
• Continuous-time asset pricing theory. A martingale-based approach
• Correlations and bounds for stochastic volatility models
• Estimation of risk-neutral densities using positive convolution approximation
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Local martingales, arbitrage, and viability. Free snacks and cheap thrills
• Local martingales, bubbles and option prices
• Moment explosions in stochastic volatility models
• Option pricing when underlying stock returns are discontinuous
• Parametric Inference and Dynamic State Recovery From Option Panels
• Rational equilibrium asset-pricing bubbles in continuous trading models
• Real time monitoring of asset markets: bubbles and crises
• Risk-neutral compatibility with option prices
• Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
• Testing for multiple bubbles: limit theory of real-time detectors
• The fundamental theorem of asset pricing for unbounded stochastic processes
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

This page was built for publication: Testing for Asset Price Bubbles Using Options Data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7229778)