Strict local martingale deflators and valuing American call-type options
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 16 (2012)
Issue (Month): 2 (April)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- 60G - - - - - -
- 60G - - - - - -
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Erik Ekstrom & Per Lotstedt & Lina Von Sydow & Johan Tysk, 2011. "[image omitted] Numerical option pricing in the presence of bubbles," Quantitative Finance, Taylor & Francis Journals, vol. 11(8), pages 1125-1128.
- Soumik Pal & Philip Protter, 2007. "Analysis of continuous strict local martingales via h-transforms," Papers 0711.1136, arXiv.org, revised Jun 2010.
- Alexander Cox & David Hobson, 2005. "Local martingales, bubbles and option prices," Finance and Stochastics, Springer, vol. 9(4), pages 477-492, October.
- Pal, Soumik & Protter, Philip, 2010. "Analysis of continuous strict local martingales via h-transforms," Stochastic Processes and their Applications, Elsevier, vol. 120(8), pages 1424-1443, August.
- Robert Fernholz & Ioannis Karatzas & Constantinos Kardaras, 2005. "Diversity and relative arbitrage in equity markets," Finance and Stochastics, Springer, vol. 9(1), pages 1-27, January.
- Daniel Fernholz & Ioannis Karatzas, 2010. "On optimal arbitrage," Papers 1010.4987, arXiv.org.
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