Strict local martingale deflators and valuing American call-type options
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References listed on IDEAS
- 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.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- 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.
- 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.
More about this item
KeywordsStrict local martingales; Deflators; American call options; 60G40; 60G44; G13; C60;
- 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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