دانلود مقاله ISI انگلیسی شماره 104022
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
104022 2018 11 صفحه PDF سفارش دهید 9651 کلمه
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عنوان انگلیسی
Detecting money market bubbles
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Banking & Finance, Volume 87, February 2018, Pages 369-379

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چکیده انگلیسی

The existence of a self-financing trading strategy that replicates the money market account at a fixed future date at a lower cost than the current value of this account constitutes a money market bubble (MMB). Understanding whether a market exhibits an MMB is crucial, in particular, for derivative pricing. An MMB precludes the existence of a risk-neutral probability measure. The benchmark approach allows to study MMBs and is formulated under the real world probability measure. It does not require the existence of a risk neutral probability measure. Using a range of well-known stochastic volatility models, we study the existence of an MMB in the US economy, and find that the US market exhibits an MMB for all models considered that allow it. This suggests that for derivative pricing and hedging care should be taken when making assumptions pertaining to the existence of a risk-neutral probability measure. Less expensive portfolios are likely to exist for a wide range of long-term derivatives, as typical for pensions.

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