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Strict local martingale deflators and valuing American call-type options

Author

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  • Erhan Bayraktar

    ()

  • Constantinos Kardaras

    ()

  • Hao Xing

    ()

Abstract

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Suggested Citation

  • 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.
  • Handle: RePEc:spr:finsto:v:16:y:2012:i:2:p:275-291
    DOI: 10.1007/s00780-011-0155-y
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    File URL: http://hdl.handle.net/10.1007/s00780-011-0155-y
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    References listed on IDEAS

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    1. Daniel Fernholz & Ioannis Karatzas, 2010. "On optimal arbitrage," Papers 1010.4987, arXiv.org.
    2. Mitchel Y. Abolafia (ed.), 2005. "Markets," Books, Edward Elgar Publishing, number 2788.
    3. 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.
    4. Alexander Cox & David Hobson, 2005. "Local martingales, bubbles and option prices," Finance and Stochastics, Springer, vol. 9(4), pages 477-492, October.
    5. Erhan Bayraktar & Hao Xing, 2009. "On the uniqueness of classical solutions of Cauchy problems," Papers 0908.1086, arXiv.org, revised Sep 2009.
    6. 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.
    7. Robert A. Jarrow, 2015. "Asset Price Bubbles," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 201-218, December.
    8. Soumik Pal & Philip Protter, 2007. "Analysis of continuous strict local martingales via h-transforms," Papers 0711.1136, arXiv.org, revised Jun 2010.
    9. 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.
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    Citations

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    Cited by:

    1. Kardaras, Constantinos & Kreher, Dörte & Nikeghbali, Ashkan, 2015. "Strict local martingales and bubbles," LSE Research Online Documents on Economics 64967, London School of Economics and Political Science, LSE Library.
    2. David Criens, 2016. "Deterministic Criteria for the Absence and Existence of Arbitrage in Multi-Dimensional Diffusion Markets," Papers 1609.01621, arXiv.org, revised Dec 2017.
    3. repec:wsi:ijtafx:v:21:y:2018:i:01:n:s0219024918500024 is not listed on IDEAS
    4. Kardaras, Constantinos, 2015. "Valuation and parities for exchange options," LSE Research Online Documents on Economics 65535, London School of Economics and Political Science, LSE Library.
    5. Cetin, Umut, 2018. "Diffusion transformations, black-scholes equation and optimal stopping," LSE Research Online Documents on Economics 87261, London School of Economics and Political Science, LSE Library.

    More about this item

    Keywords

    Strict local martingales; Deflators; American call options; 60G40; 60G44; G13; C60;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General

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