R. Jarrow, P. Protter, J. San Martín, Johnson School Working Paper Series
{"title":"资产价格泡沫:不变性定理*","authors":"R. Jarrow, P. Protter, J. San Martín, Johnson School Working Paper Series","doi":"10.2139/ssrn.3722111","DOIUrl":null,"url":null,"abstract":"This paper provides invariance theorems that facilitate testing for the existence of an asset price bubble in a market where the price evolves as a Markov diffusion process. The test involves only the properties of the price process' quadratic variation under the statistical probability. It does not require an estimate of either the equivalent local martingale measure or the asset's drift. To augment its use, a new family of stochastic volatility price processes is also provided where the processes' strict local martingale behavior can be characterized.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2020-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"Asset Price Bubbles: Invariance Theorems*\",\"authors\":\"R. Jarrow, P. Protter, J. San Martín, Johnson School Working Paper Series\",\"doi\":\"10.2139/ssrn.3722111\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper provides invariance theorems that facilitate testing for the existence of an asset price bubble in a market where the price evolves as a Markov diffusion process. The test involves only the properties of the price process' quadratic variation under the statistical probability. It does not require an estimate of either the equivalent local martingale measure or the asset's drift. To augment its use, a new family of stochastic volatility price processes is also provided where the processes' strict local martingale behavior can be characterized.\",\"PeriodicalId\":209192,\"journal\":{\"name\":\"ERN: Asset Pricing Models (Topic)\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-12-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Asset Pricing Models (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3722111\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Asset Pricing Models (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3722111","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
This paper provides invariance theorems that facilitate testing for the existence of an asset price bubble in a market where the price evolves as a Markov diffusion process. The test involves only the properties of the price process' quadratic variation under the statistical probability. It does not require an estimate of either the equivalent local martingale measure or the asset's drift. To augment its use, a new family of stochastic volatility price processes is also provided where the processes' strict local martingale behavior can be characterized.