Abstract

  
 

References (35)



 
 

Citations (1)



 


 



The Martingale Theory of Bubbles: Implications for the Valuation of Derivatives and Detecting Bubbles


Robert A. Jarrow


Cornell University - Samuel Curtis Johnson Graduate School of Management

Philip Protter


Cornell University
May 10, 2010

Johnson School Research Paper Series No. 25-2010

Abstract:     
The martingale theory of bubbles studies the existence and characterization of asset price bubbles in continuous time and continuous trading economies under both the no arbitrage (no free lunch vanishing risk) and no dominance hypotheses. We review this theory, with an emphasis on understanding its implications for the valuation of derivatives and detecting asset price bubbles.

Number of Pages in PDF File: 19

working papers series


Download This Paper

Date posted: May 10, 2010  

Suggested Citation

Jarrow, Robert A. and Protter, Philip, The Martingale Theory of Bubbles: Implications for the Valuation of Derivatives and Detecting Bubbles (May 10, 2010). Johnson School Research Paper Series No. 25-2010. Available at SSRN: http://ssrn.com/abstract=1604175 or http://dx.doi.org/10.2139/ssrn.1604175

Contact Information

Robert A. Jarrow (Contact Author)
Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )
Department of Finance
Ithaca, NY 14853
United States
607-255-4729 (Phone)
607-254-4590 (Fax)
Philip Protter
Cornell University ( email )
Ithaca, NY 14853
United States
Feedback to SSRN (Beta)


Paper statistics
Abstract Views: 814
Downloads: 286
Download Rank: 51,002
References:  35
Citations:  1

© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright
This page was processed by apollo5 in 0.453 seconds