In:
International Journal of Theoretical and Applied Finance, World Scientific Pub Co Pte Ltd, Vol. 08, No. 04 ( 2005-06), p. 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.
Type of Medium:
Online Resource
ISSN:
0219-0249
,
1793-6322
DOI:
10.1142/S0219024905003074
Language:
English
Publisher:
World Scientific Pub Co Pte Ltd
Publication Date:
2005
SSG:
3,2
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