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Arbitrage, martingales and bubbles

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  • Gilles, Christian
  • LeRoy, Stephen F.

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File URL: http://www.sciencedirect.com/science/article/B6V84-3TX5F4P-J/2/1c0723f82cd516cf314650a40b696c31
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 60 (1998)
Issue (Month): 3 (September)
Pages: 357-362

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Handle: RePEc:eee:ecolet:v:60:y:1998:i:3:p:357-362

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Web page: http://www.elsevier.com/locate/ecolet

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  1. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
  2. Gilles, Christian, 1989. "Charges as equilibrium prices and asset bubbles," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 155-167, April.
  3. Gilles, Christian & LeRoy, Stephen F, 1992. "Bubbles and Charges," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(2), pages 323-39, May.
  4. Harrison, J Michael & Kreps, David M, 1978. "Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations," The Quarterly Journal of Economics, MIT Press, vol. 92(2), pages 323-36, May.
  5. Back, Kerry & Pliska, Stanley R., 1991. "On the fundamental theorem of asset pricing with an infinite state space," Journal of Mathematical Economics, Elsevier, vol. 20(1), pages 1-18.
  6. Werner, Jan, 1997. "Arbitrage, Bubbles, and Valuation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(2), pages 453-64, May.
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