DUPIRE'S EQUATION FOR BUBBLES

DOI10.1142/S0219024912500410zbMath1262.91133MaRDI QIDQ4649504

Erik Ekström, Johan Tysk

Publication date: 22 November 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

financial bubblesstrict local martingalesDupire's equation

Mathematics Subject Classification ID

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

Related Items (1)

Fake exponential Brownian motion

Cites Work

• Bubbles, convexity and the Black-Scholes equation
• On exponential local martingales associated with strong Markov continuous local martingales
• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• Stochastic flow approach to Dupire's formula
• Local martingales, bubbles and option prices
• Interior Schauder estimates for parabolic differential- (or difference-) equations via the maximum principle
• ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
• Smooth Transition Densities for One-Dimensional Diffusions

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