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[image omitted] Numerical option pricing in the presence of bubbles

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  • Erik Ekstrom
  • Per Lotstedt
  • Lina Von Sydow
  • Johan Tysk

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Suggested Citation

  • 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.
    • Handle: RePEc:taf:quantf:v:11:y:2011:i:8:p:1125-1128
    DOI: 10.1080/14697688.2010.495078
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    References listed on IDEAS

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    1. Alexander Cox & David Hobson, 2005. "Local martingales, bubbles and option prices," Finance and Stochastics, Springer, vol. 9(4), pages 477-492, October.
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    Cited by:

    1. Çetin, Umut & Larsen, Kasper, 2023. "Uniqueness in cauchy problems for diffusive real-valued strict local martingales," LSE Research Online Documents on Economics 118743, London School of Economics and Political Science, LSE Library.
    2. Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2012. "Strict local martingale deflators and valuing American call-type options," Finance and Stochastics, Springer, vol. 16(2), pages 275-291, April.
    3. Yukihiro Tsuzuki, 2024. "Boundary conditions at infinity for Black-Scholes equations," Papers 2401.05549, arXiv.org, revised Mar 2024.
    4. Yukihiro Tsuzuki, 2023. "Pitman's Theorem, Black-Scholes Equation, and Derivative Pricing for Fundraisers," Papers 2303.13956, arXiv.org.

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