Pages that link to "Item:Q2488491"
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The following pages link to Local martingales, bubbles and option prices (Q2488491):
Displaying 50 items.
- Robust pricing and hedging under trading restrictions and the emergence of local martingale models (Q309166) (← links)
- Relative asset price bubbles (Q315462) (← links)
- Outperforming the market portfolio with a given probability (Q453241) (← links)
- Shifting martingale measures and the birth of a bubble as a submartingale (Q468413) (← links)
- Negative call prices (Q470687) (← links)
- On the hedging of options on exploding exchange rates (Q471173) (← links)
- Option pricing with quadratic volatility: a revisit (Q483708) (← links)
- Simple examples of pure-jump strict local martingales (Q491181) (← links)
- Watermark options (Q503393) (← links)
- The lifetime of a financial bubble (Q506379) (← links)
- The stochastic solution to a Cauchy problem for degenerate parabolic equations (Q517967) (← links)
- Foreign currency bubbles (Q539147) (← links)
- Diversity and arbitrage in a regulatory breakup model (Q635965) (← links)
- On the martingale property of certain local martingales (Q664349) (← links)
- On the regularity of American options with regime-switching uncertainty (Q681986) (← links)
- Asset pricing in an imperfect world (Q683829) (← links)
- Bubbles, convexity and the Black-Scholes equation (Q835063) (← links)
- A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation (Q846506) (← links)
- Single jump processes and strict local martingales (Q901294) (← links)
- On changes of measure in stochastic volatility models (Q937484) (← links)
- The Black-Scholes equation in stochastic volatility models (Q973979) (← links)
- Analysis of continuous strict local martingales via \(h\)-transforms (Q983170) (← links)
- Explicit construction of stochastic exponentials with arbitrary expectation \(k\in (0,1)\) (Q1012213) (← links)
- Diffusion transformations, Black-Scholes equation and optimal stopping (Q1617159) (← links)
- On the multiplicity of option prices under CEV with positive elasticity of variance (Q1621639) (← links)
- Strict local martingales: examples (Q1687193) (← links)
- A risk-neutral equilibrium leading to uncertain volatility pricing (Q1709602) (← links)
- Asymptotic asset pricing and bubbles (Q1744206) (← links)
- Strict local martingale deflators and valuing American call-type options (Q1761442) (← links)
- Mean-variance portfolio selection under a constant elasticity of variance model (Q1785248) (← links)
- Hedging for the long run (Q1938979) (← links)
- Root's barrier: construction, optimality and applications to variance options (Q1950255) (← links)
- Can time-homogeneous diffusions produce any distribution? (Q1950378) (← links)
- Asset price bubbles in markets with transaction costs (Q2085833) (← links)
- The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations (Q2111245) (← links)
- Asset price bubbles: invariance theorems (Q2170295) (← links)
- No arbitrage in continuous financial markets (Q2190064) (← links)
- A note on options and bubbles under the CEV model: implications for pricing and hedging (Q2211013) (← links)
- Strict local martingales with jumps (Q2258828) (← links)
- A Black-Scholes inequality: applications and generalisations (Q2282961) (← links)
- Financial asset price bubbles under model uncertainty (Q2296108) (← links)
- Fragility of arbitrage and bubbles in local martingale diffusion models (Q2339115) (← links)
- Strict local martingales and bubbles (Q2354886) (← links)
- Optimal stopping with information constraint (Q2391931) (← links)
- Weak tail conditions for local martingales (Q2421830) (← links)
- Local time and the pricing of path-dependent options (Q2430252) (← links)
- Comparison results for stochastic volatility models via coupling (Q2430255) (← links)
- Hedging variance options on continuous semimartingales (Q2430256) (← links)
- Worst-case optimal investment with a random number of crashes (Q2453936) (← links)
- Moment explosions in stochastic volatility models (Q2463702) (← links)