An explosion time characterization of asset price bubbles
Author:
Affiliation:
1. Samuel Curtis Johnson Graduate School of Management Cornell University Ithaca New York USA
2. School of Economics The University of Sydney Sydney New South Wales Australia
Publisher
Wiley
Subject
Economics and Econometrics,Finance
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/irfi.12404
Reference28 articles.
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2. Carr P. Cherny A. &Urusov M.(2007).On the martingale property of time‐homogeneous diffusions. Working paper.
3. On the hedging of options on exploding exchange rates;Carr P.;Finance and Stochastics,2014
4. Families of consistent probability measures;Cherny A.;Theory of Probability and its Applications,2002
5. Applying the local martingale theory of bubbles to cryptocurrencies;Choi S.;International Journal of Theoretical and Applied Finance.,2022
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