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Ito's Integrated Formula for Strict Local Martingales · Study

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ChapterIto's Integrated Formula for Strict Local Martingales

Dilip B. Madan2006

Chapter2006

Ito's Integrated Formula for Strict Local Martingales

Dilip B. Madan · Marc Yor

34 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Probability and Statistical Research Mathematical and Theoretical Analysis

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References

1999Continuous Martingales and Brownian Motion 1995Pricing Derivatives on Financial Securities Subject to Credit Risk 1982Further Results on the Constant Elasticity of Variance Call Option Pricing Model 2006Options and Bubbles 1998Complications with stochastic volatility models 1999The importance of strictly local martingales; applications to radial Ornstein–Uhlenbeck processes 1997On the tails of the supremum and the quadratic variation of strictly local martingales

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2010On the martingale property of certain local martingalesarticle · 4 shared references 2010Option pricing with quadratic volatility: a revisitarticle · 4 shared references 2012HEDGING UNDER ARBITRAGEarticle · 3 shared references 2010Rational asset pricing bubbles and portfolio constraintsarticle · 3 shared references 2010The Black–Scholes equation in stochastic volatility modelsarticle · 3 shared references 2010Analysis of continuous strict local martingales via h -transformsarticle · 3 shared references

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Year2006

Typechapter

Published2006-10-17

VenueSpringer eBooks

Languageen

Citations34

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-540-35513-7_13

openalex_workW23123177

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