Bubbles and crashes in a Black-Scholes model with delay
DOI10.1007/s00780-012-0181-4zbMath1256.91060OpenAlexW2166722260MaRDI QIDQ1936825
Catherine Swords, John A. D. Appleby, Markus Riedle
Publication date: 7 February 2013
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-012-0181-4
resolventBrownian motionlaw of the iterated logarithmefficient market hypothesisrenewal equationstochastic functional differential equation
Stochastic models in economics (91B70) Asymptotic theory of functional-differential equations (34K25) Stochastic functional-differential equations (34K50) Auctions, bargaining, bidding and selling, and other market models (91B26) Corporate finance (dividends, real options, etc.) (91G50)
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