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.
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Change history
11 June 2022
The author noticed few mistakes in Chapters 3, 6, 12, 14 and 17 as shown below.
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Jarrow, R.A. (2021). Asset Price Bubbles. In: Continuous-Time Asset Pricing Theory. Springer Finance(). Springer, Cham. https://doi.org/10.1007/978-3-030-74410-6_3
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DOI: https://doi.org/10.1007/978-3-030-74410-6_3
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