scientific article; zbMATH DE number 5499196
From MaRDI portal
Publication:5506186
zbMath1154.91452MaRDI QIDQ5506186
Kazuhiro Shimbo, Philip E. Protter, Robert A. Jarrow
Publication date: 28 January 2009
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (36)
Uniqueness in Cauchy problems for diffusive real-valued strict local martingales ⋮ Bubbles, convexity and the Black-Scholes equation ⋮ Robust pricing and hedging under trading restrictions and the emergence of local martingale models ⋮ Informational Efficiency under Short Sale Constraints ⋮ Asset price bubbles: invariance theorems ⋮ Probabilistic aspects of finance ⋮ The Formation of Financial Bubbles in Defaultable Markets ⋮ Liquidity Induced Asset Bubbles via Flows of ELMMs ⋮ Bubbles in discrete-time models ⋮ Weak tail conditions for local martingales ⋮ Asset price bubbles, wealth preserving, dominating, and replicating trading strategies ⋮ Liquidity Based Modeling of Asset Price Bubbles via Random Matching ⋮ An approach to the absence of price bubbles through state-price deflators ⋮ Comparison results for stochastic volatility models via coupling ⋮ Diversity and arbitrage in a regulatory breakup model ⋮ Outperforming the market portfolio with a given probability ⋮ Shifting martingale measures and the birth of a bubble as a submartingale ⋮ Negative call prices ⋮ Worst-case optimal investment with a random number of crashes ⋮ On the martingale property of certain local martingales ⋮ Complete and competitive financial markets in a complex world ⋮ Asymptotic asset pricing and bubbles ⋮ Strict local martingale deflators and valuing American call-type options ⋮ Strict local martingales and optimal investment in a Black–Scholes model with a bubble ⋮ The Black-Scholes equation in stochastic volatility models ⋮ WORST-CASE PORTFOLIO OPTIMIZATION IN A MARKET WITH BUBBLES ⋮ Financial asset price bubbles under model uncertainty ⋮ STRONG BUBBLES AND STRICT LOCAL MARTINGALES ⋮ A Nonuniformly Integrable Martingale Bubble with a Crash ⋮ Financial Asset Bubbles in Banking Networks ⋮ Diffusion-Based Models for Financial Markets Without Martingale Measures ⋮ Market Models with Optimal Arbitrage ⋮ Valuation and Parities for Exchange Options ⋮ INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS ⋮ Fragility of arbitrage and bubbles in local martingale diffusion models ⋮ Strict local martingales and bubbles
This page was built for publication: