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Strict local martingale deflators and valuing American call-type options

  • Erhan Bayraktar

    ()

  • Constantinos Kardaras

    ()

  • Hao Xing

    ()

No abstract is available for this item.

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File URL: http://hdl.handle.net/10.1007/s00780-011-0155-y
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Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 16 (2012)
Issue (Month): 2 (April)
Pages: 275-291

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Handle: RePEc:spr:finsto:v:16:y:2012:i:2:p:275-291
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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. 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.
  3. 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.
  4. Alexander Cox & David Hobson, 2005. "Local martingales, bubbles and option prices," Finance and Stochastics, Springer, vol. 9(4), pages 477-492, October.
  5. Soumik Pal & Philip Protter, 2007. "Analysis of continuous strict local martingales via h-transforms," Papers 0711.1136, arXiv.org, revised Jun 2010.
  6. 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.
  7. Mitchel Y. Abolafia (ed.), 2005. "Markets," Books, Edward Elgar, number 2788, 6.
  8. Erhan Bayraktar & Hao Xing, 2009. "On the uniqueness of classical solutions of Cauchy problems," Papers 0908.1086, arXiv.org, revised Sep 2009.
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