34 citations · 39 across the 3 of their papers we have counts for
4 papers
Is there a bubble in LinkedIn's stock price?
Robert Jarrow, Younes Kchia, Philip Protter
Recent academic work has developed a method to determine, in real time, if a given stock is exhibiting a price bubble. Currently there is speculation in the financial press concern…
Discretely sampled variance and volatility swaps versus their continuous approximations
Robert Jarrow, Younes Kchia, Martin Larsson +1
Discretely sampled variance and volatility swaps trade actively in OTC markets. To price these swaps, the continuously sampled approximation is often used to simplify the computati…
Housing Market Microstructure
Hazer Inaltekin, Robert Jarrow, Mehmet Saglam +1
In this article, we develop a model for the evolution of real estate prices. A wide range of inputs, including stochastic interest rates and changing demands for the asset, are con…
No arbitrage without semimartingales
Robert A. Jarrow, Philip Protter, Hasanjan Sayit
We show that with suitable restrictions on allowable trading strategies, one has no arbitrage in settings where the traditional theory would admit arbitrage possibilities. In parti…