A NOTE ON ASSET BUBBLES IN CONTINUOUS-TIME

Gianluca Cassese

International Journal of Theoretical and Applied Finance (IJTAF), 2005, vol. 08, issue 04, 523-536

Abstract: In this paper we propose a model of asset prices consistent with the no-arbitrage principle but allowing for the existence of "bubbles". The structure of bubbles is explicitly characterized and we show that, for example, they may be of either sign. Furthermore, we discuss the existence of bubbles under alternative definitions of absence of arbitrage opportunities.

Keywords: Bubbles; arbitrage; finitely additive measures; fundamental theorem of asset pricing; martingales (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (5)

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DOI: 10.1142/S0219024905003074

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