logo
CanyamAI summaries for academic research
language
MobileMobile
  • Phone FeatureWeChat Mini Program
EnglishEnglish
noticeNotice
BlogBlog
delete
arrow
Return

Testing for Asset Price Bubbles Using Options Data

delete2025-01-22
delete0
PRE
AI
N
Nicola Fusari *
R
Robert A. Jarrow
S
Sujan Lamichhane *
DOI：10.1080/07350015.2024.2429470delete
deleteOriginal
deleteOriginal request for help
deleteShare
deleteSave
Abstract

Abstract

En 中文
We present a new approach to identifying asset price bubbles based on options data. We estimate asset bubbles by exploiting the differential pricing between put and call options. We apply our methodology to two stock market indexes, the S&P 500 and the Nasdaq-100, and two technology stocks, Amazon and Facebook, over the 2014-2018 sample period. We find that, while indexes do not exhibit significant bubbles, Amazon and Facebook show frequent and significant bubbles. The estimated bubbles tend to be associated with large volatility and large trading volume. Since our approach can be implemented in real time, it is useful to both policy-makers and investors.
Keywords:
Asset price bubbles
Local martingales
Martingales
Option pricing
Stochastic volatility

Journal

J
Journal of Business and Economic Statistics
IF:
2.5
Papers:
96
Citations:
9.1K

Organization

A
a johns hopkins carey business school
Scholars:
1
Papers: 1
Citations: 0
C
c international monetary fund, washington, dc
Scholars:
1
Papers: 1
Citations: 0
C
Cornell University
Scholars:
6.3W
Papers: 5.4W
Citations: 10.9W
researcher View more organizations