Towards a self-consistent theory of volatility

DOI10.1016/j.matpur.2006.04.006zbMath1127.91027OpenAlexW2075299474MaRDI QIDQ864196

Pierre-Louis Lions, Jean-Michel Lasry

Publication date: 13 February 2007

Published in: Journal de Mathématiques Pures et Appliquées. Neuvième Série (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matpur.2006.04.006

zbMATH Keywords

pricingoption hedging

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Mean field games. I: The stationary case ⋮ Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values ⋮ Asymptotics for a symmetric equation in price formation ⋮ On a class of singular stochastic control problems driven by Lévy noise ⋮ Mean field games ⋮ Large investor trading impacts on volatility ⋮ ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Large investor trading impacts on volatility
• Asymmetric information and imperfect competition in a continuous time multivariate security model
• 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
• Mathematical Models for Stock Pinning near Option Expiration Dates
• Continuous Auctions and Insider Trading
• Une classe nouvelle de problèmes singuliers de contrôle stochastique
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations

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