Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values

DOI10.1016/j.anihpc.2005.12.005zbMath1130.91340OpenAlexW1998331916MaRDI QIDQ2466254

Jean-Michel Lasry, Pierre-Louis Lions

Publication date: 14 January 2008

Published in: Annales de l'Institut Henri Poincaré. Analyse Non Linéaire (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPC_2007__24_3_361_0

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

From mean field games to Navier-Stokes equations ⋮ Asymptotics for a symmetric equation in price formation ⋮ On a class of singular stochastic control problems driven by Lévy noise ⋮ Ergodic mean field games with Hörmander diffusions ⋮ ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Towards a self-consistent theory of volatility
• Large investor trading impacts on volatility
• Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
• Market Volatility and Feedback Effects from Dynamic Hedging
• Une classe nouvelle de problèmes singuliers de contrôle stochastique
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations

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