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Bubbles, convexity and the Black-Scholes equation - MaRDI portal

Bubbles, convexity and the Black-Scholes equation (Q835063)

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Bubbles, convexity and the Black-Scholes equation
scientific article

    Statements

    title
    Bubbles, convexity and the Black-Scholes equation (English)
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    author
    Erik Ekström
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    Johan Tysk
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    publication date
    27 August 2009
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    zbMATH Keywords
    parabolic equations
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    stochastic representation
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    preservation of convexity
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    local martingales
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    Identifiers

    DOI
    10.1214/08-AAP579
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    Mathematics Subject Classification ID
    91G20
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    35K65
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    60G44
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    60G40
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    zbMATH DE Number
    5599228
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    arXiv ID
    0908.4468
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