FORWARD AND FUTURES PRICES WITH BUBBLES

被引：17
|
作者：
Jarrow, Robert A. [1 ,2 ]
Protter, Philip [3 ]
机构：
[1] Cornell Univ, Johnson Grad Sch Management, Ithaca, NY 14853 USA
[2] Kamakura Corp, Honolulu, HI 96815 USA
[3] Cornell Univ, Sch Operat Res, Ithaca, NY 14853 USA
来源：
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2009年 / 12卷 / 07期
关键词：
Futures; forwards; speculative bubbles; stochastic interest rates; local martingale; inverse Bessel process;
D O I：
10.1142/S0219024909005518
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper extends and refines the Jarrow et al. (2006, 2008) arbitrage free pricing theory for bubbles to characterize forward and futures prices. Some new insights are obtained in this regard. In particular, we: (i) provide a canonical process for asset price bubbles suitable for empirical estimation, (ii) discuss new methods to test empirically for asset price bubbles using both spot prices and call/put option prices on the spot commodity, (iii) show that futures prices can have bubbles independent of the underlying asset's price bubble, (iv) relate forward and futures prices under bubbles, and (v) relate price options on futures with asset price bubbles.
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页码：901 / 924
页数：24
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