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Asset Price Bubbles

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Continuous-Time Asset Pricing Theory

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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.

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Authors and Affiliations

  1. Samuel Curtis Johnson Graduate School, Cornell University, Ithaca, New York, USA

    Robert A. Jarrow

Authors
  1. Robert A. Jarrow
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Jarrow, R.A. (2018). Asset Price Bubbles. In: Continuous-Time Asset Pricing Theory. Springer Finance(). Springer, Cham. https://doi.org/10.1007/978-3-319-77821-1_3

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