Strict Local Martingale Deflators and Pricing American Call-Type Options
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References listed on IDEAS
- 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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- Alexander Vervuurt, 2015. "Topics in Stochastic Portfolio Theory," Papers 1504.02988, arXiv.org.
- Johannes Ruf, 2013. "Negative call prices," Annals of Finance, Springer, vol. 9(4), pages 787-794, November.
- Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2010.
"Valuation equations for stochastic volatility models,"
1004.3299, arXiv.org, revised Dec 2011.
- Bayraktar, Erhan & Kardaras, Constantinos & Xing, Hao, 2012. "Valuation equations for stochastic volatility models," LSE Research Online Documents on Economics 43460, London School of Economics and Political Science, LSE Library.
- Johannes Ruf, 2012. "Negative Call Prices," Papers 1204.1903, arXiv.org, revised Jan 2013.
- Johannes Ruf, 2010. "Hedging under arbitrage," Papers 1003.4797, arXiv.org, revised May 2011.
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