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Towards a self-consistent theory of volatility · Study

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ArticleTowards a self-consistent theory of volatility

Pierre‐Louis Lions2006

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Articlebronze2006

Towards a self-consistent theory of volatility

Pierre‐Louis Lions · Jean‐Michel Lasry

17 citations·0/0 files stored·Journal de Mathématiques Pures et Appliquées

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

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References

1973The Pricing of Options and Corporate Liabilities 1985Continuous Auctions and Insider Trading 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 2005Controlled Markov Processes and Viscosity Solutions 1994Controlled markov processes and viscosity solutions 1992Insider Trading in Continuous Time 2000Imperfect Competition among Informed Traders

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2007Mean field games 2006Jeux à champ moyen. I – Le cas stationnaire 2006Jeux à champ moyen. II – Horizon fini et contrôle optimal

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2007Mean field gamesarticle · 13 shared references 2006Large investor trading impacts on volatilityarticle · 9 shared references 2008On the numerical solution of nonlinear Black–Scholes equationsarticle · 5 shared references 1997Optimal trading under constraintschapter · 5 shared references 2004European option pricing and hedging with both fixed and proportional transaction costsarticle · 5 shared references 2011Econophysics review: I. Empirical factsarticle · 4 shared references

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Year2006

Typearticle

Published2006-11-02

VenueJournal de Mathématiques Pures et Appliquées

ISSN-L0021-7824

Languagefr

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.matpur.2006.04.006

openalex_workW2075299474

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