Asset Price Bubbles

Robert Jarrow ()

Chapter Chapter 3 in Continuous-Time Asset Pricing Theory, 2021, pp 75-90 from Springer

Abstract: Abstract An important recent development in the asset pricing literature is an understanding of asset price bubbles. This chapter discusses these new insights. They are motivated by the first and third fundamental theorems which show that NFLVR only implies the existence of a local martingale measure and not a martingale measure. Asset price bubbles clarify the economic meaning of this difference. The material in this chapter is based on the papers by Jarrow, Protter, and Shimbo.

Date: 2021
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Journal Article: Asset Price Bubbles (2015)
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DOI: 10.1007/978-3-030-74410-6_3

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