资产价格泡沫的检验:一个不变性定理

R. Jarrow, P. Protter, J. San Martín
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引用次数: 3

摘要

本文提供了一个不变性定理,便于在价格演变为马尔可夫扩散过程的市场中检验资产价格泡沫的存在性。检验只涉及价格过程在统计概率下的二次变化性质。它既不需要估计等效的局部鞅度量,也不需要估计资产的漂移。给出了不变性定理在不完全市场随机波动价格过程中的应用。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Testing for Asset Price Bubbles: An Invariance Theorem
This paper provides an invariance theorem that facilitates 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. Various examples are provided that illustrate applications of the invariance theorem to stochastic volatility price processes in incomplete markets.
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