SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
BUBBLES, CONVEXITY AND THE BLACK–SCHOLES EQUATION
16 references·6 citing·36 second hop
BUBBLES, CONVEXITY AND THE BLACK–SCHOLES EQUATION (2012)BUBBLES, CONVEXITY AND THE BLACK–SCHOLES …The Black–Scholes equation in stochastic volatility models (2010)The Black–Scholes equation in…ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)ASSET PRICE BUBBLES IN INCOMP…Stochastic differential equations and applications (2008)Stochastic differential equat…Asset Price Bubbles in Complete Markets (2007)Asset Price Bubbles in Comple…Options and Bubbles (2006)Options and BubblesMoment explosions in stochastic volatility models (2006)Moment explosions in stochast…FEYNMAN–KAC FORMULAS FOR BLACK–SCHOLES-TYPE OPERATORS (2006)FEYNMAN–KAC FORMULAS FOR BLAC…Local martingales, bubbles and option prices (2005)Local martingales, bubbles an…Properties of American option prices (2004)Properties of American option…Option valuation under stochastic volatility: with mathematica code (2002)Option valuation under stocha…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Volatility misspecification, option pricing and superreplication via coupling (1998)Volatility misspecification, …Robustness of the Black and Scholes Formula (1998)Robustness of the Black and S…Complications with stochastic volatility models (1998)Complications with stochastic…ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES (1994)ARBITRAGE AND FREE LUNCH WITH…Stochastic Differential Equations and Applications (1976)Stochastic Differential Equat…Computational recovery of time-dependent volatility from integral observations in option pricing (2019)Computational recovery of tim…Valuation Equations for Stochastic Volatility Models (2012)Valuation Equations for Stoch…Discretely sampled variance and volatility swaps versus their continuous approximations (2012)Discretely sampled variance a…Optimal Trading Strategies Under Arbitrage (2011)Optimal Trading Strategies Un…The Economic Plausibility of Strict Local Martingales in Financial Modelling (2010)The Economic Plausibility of …On the uniqueness of classical solutions of Cauchy problems (2010)On the uniqueness of classica…The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance (2007)On the martingale property of certain local martingales (2010)How to Detect an Asset Bubble (2011)Prices of State-Contingent Claims Implicit in Option Prices (1978)Martingales and stochastic integrals in the theory of continuous trading (1981)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2010)Arbitrage-free SVI volatility surfaces (2013)Contingent Claims and Market Completeness in a Stochastic Volatility Model (1997)Pricing and Hedging Spread Options (2003)Theory of rational option pricing (2005)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)Brownian Motion and Stochastic Calculus (2007)Theory of Rational Option Pricing (1973)Noise Trader Risk in Financial Markets (1990)A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS (2012)Is Bitcoin a bubble? (2018)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)An Exact Bond Option Formula (1989)A pricing method for options based on average asset values (1990)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Modeling Term Structures of Defaultable Bonds (1999)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Option pricing when correlations are stochastic: an analytical framework (2007)Asymptotic analysis for stochastic volatility: martingale expansion (2010)A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets (2001)A Mathematical Theory of Financial Bubbles (2013)Efficient Simulation of the Heston Stochastic Volatility Model (2006)A comparison of biased simulation schemes for stochastic volatility models (2009)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2008Stochastic differential equations and applications4,595 cited
  • 1976Stochastic Differential Equations and Applications1,378 cited
  • 2006Moment explosions in stochastic volatility models403 cited
  • 1998Robustness of the Black and Scholes Formula363 cited
  • 2010ASSET PRICE BUBBLES IN INCOMPLETE MARKETS235 cited
  • 2005Local martingales, bubbles and option prices234 cited
  • 2002Option valuation under stochastic volatility: with mathematica code228 cited
  • 2006Options and Bubbles206 cited
  • 1998Complications with stochastic volatility models157 cited
  • 1998Volatility misspecification, option pricing and superreplication via coupling136 cited
  • 2007Asset Price Bubbles in Complete Markets85 cited
  • 2006FEYNMAN–KAC FORMULAS FOR BLACK–SCHOLES-TYPE OPERATORS72 cited
  • 2010The Black–Scholes equation in stochastic volatility models67 cited
  • 1994ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES65 cited
  • 2004Properties of American option prices

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

61 cited

Cited by

  • 2012Discretely sampled variance and volatility swaps versus their continuous approximations41 cited
  • 2012Valuation Equations for Stochastic Volatility Models28 cited
  • 2010The Economic Plausibility of Strict Local Martingales in Financial Modelling25 cited
  • 2011Optimal Trading Strategies Under Arbitrage25 cited
  • 2019Computational recovery of time-dependent volatility from integral observations in option pricing22 cited
  • 2010On the uniqueness of classical solutions of Cauchy problems19 cited