An explosion time characterization of asset price bubbles

Robert Jarrow () and Simon S. Kwok

International Review of Finance, 2023, vol. 23, issue 2, 469-479

Abstract: In a standard continuous time asset pricing model, this paper provides an explosion time characterization of asset price bubbles that extends the existing characterization theorems in the literature from diffusion processes to general semimartingales (which can include jumps). This characterization has a nice economic interpretation, not emphasized in the existing literature.

Date: 2023
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