Conditions for bubbles to arise under heterogeneous beliefs

DOI10.1080/14697688.2021.1990376zbMath1490.91198arXiv2012.13753OpenAlexW3116527080MaRDI QIDQ5072901

Seung Hyun Lee, Hyungbin Park

Publication date: 5 May 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.13753

zbMATH Keywords

asset pricingCIR modelprice bubbleheterogeneous beliefdividend model

Mathematics Subject Classification ID

Financial markets (91G15)

Uses Software

• DLMF

Cites Work

• Asset price bubbles from heterogeneous beliefs about~mean reversion rates
• A risk-neutral equilibrium leading to uncertain volatility pricing
• Erratum to: Asset price bubbles from heterogeneous beliefs about mean reversion rates
• ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
• Asset pricing with heterogeneous beliefs and illiquidity
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