Liquidity Induced Asset Bubbles via Flows of ELMMs
DOI10.1137/16M1107097zbMath1410.91437arXiv1611.01440OpenAlexW2551892736WikidataQ129630475 ScholiaQ129630475MaRDI QIDQ4579843
Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis
Publication date: 10 August 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1611.01440
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
Cites Work
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