A Note on Asset Bubbles in Continuous-Time

31 Pages Posted: 13 Jun 2001  

Gianluca Cassese

Department of Economics, Statistics and Management; University of Lugano - Institute of Finance

Date Written: April 27, 2001

Abstract

In this paper we propose a model of asset prices consistent with the no-arbitrage principle but allowing for the existence of "bubbles" which are explicitely characterized. From a mathematical point of view the main theorem may be read as a measure-theoretic interpretation of local martingales.

Keywords: Martingales, arbitrage, finitely additive measures, bubbles, fundamental theorem of asset pricing.

JEL Classification: G12, C18I

Suggested Citation

Cassese, Gianluca, A Note on Asset Bubbles in Continuous-Time (April 27, 2001). EFMA 2001 Lugano Meetings. Available at SSRN: https://ssrn.com/abstract=273462 or http://dx.doi.org/10.2139/ssrn.273462

Gianluca Cassese (Contact Author)

Department of Economics, Statistics and Management ( email )

Via Bicocca degli Arcimboldi, 8
Milan, MI 20126
Italy

HOME PAGE: http://www.statistica.unimib.it/utenti/cassese

University of Lugano - Institute of Finance ( email )

Via Buffi 13
CH-6900 Lugano
Switzerland

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