Bubbles in assets with finite life

We study the speculative value of a finitely lived asset when investors disagree and short sales are limited. In this case, investors are willing to pay a speculative value for the resale option they obtain when they acquire the asset. Using martingale arguments, we characterize the equilibrium spec...

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Vydáno v:	Mathematics and financial economics Ročník 13; číslo 3; s. 429 - 458
Hlavní autoři:	Berestycki, Henri, Bruggeman, Cameron, Monneau, Regis, Scheinkman, José A.
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Berlin/Heidelberg Springer Berlin Heidelberg 01.06.2019 Springer Nature B.V
Témata:	Applications of Mathematics Assets Dynamic programming Economic models Economic Theory/Quantitative Economics/Mathematical Methods Economics Finance Fixed points (mathematics) Insurance Investors Macroeconomics/Monetary Economics//Financial Economics Management Martingales Mathematics Mathematics and Statistics Quantitative Finance Resale Sales Statistics for Business Taxation Transactions Viscosity Willingness to pay Heterogeneous beliefs Non-local free boundary problem Asset-price bubble Stochastic control G12 G1 Dynamic programming G14 Finitely-lived financial asset G18
ISSN:	1862-9679, 1862-9660
On-line přístup:	Získat plný text
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