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The importance of strictly local martingales; applications to radial Ornstein–Uhlenbeck processes

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References

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2001On Some Exponential Functionals of Brownian Motion290 cited
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1998Complications with stochastic volatility models157 cited
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2013Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models44 cited

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2006Ito's Integrated Formula for Strict Local Martingales34 cited

2012Processes of Class Sigma, Last Passage Times, and Drawdowns30 cited