Asymptotic asset pricing and bubbles (Q1744206): Difference between revisions

@@ Property / author @@
-Alexandre F. Roch
@@ Property / author: Alexandre F. Roch / rank @@
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@@ Property / author @@
+Alexandre F. Roch
@@ Property / author: Alexandre F. Roch / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11579-017-0204-1
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@@ Property / OpenAlex ID @@
+W2607945590
@@ Property / OpenAlex ID: W2607945590 / rank @@
+Normal rank
@@ Property / cites work @@
+Non-Gaussian GARCH option pricing models and their diffusion limits
+Normal rank
@@ Property / cites work @@
+Strict local martingale deflators and valuing American call-type options
+Normal rank
@@ Property / cites work @@
+Shifting martingale measures and the birth of a bubble as a submartingale
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@@ Property / cites work @@
+Local martingales, bubbles and option prices
@@ Property / cites work: Local martingales, bubbles and option prices / rank @@
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
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+Augmented GARCH\((p,q)\) process and its diffusion limit
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+From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process<sup>1</sup>
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+Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
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+On the concept of contiguity
@@ Property / cites work: On the concept of contiguity / rank @@
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@@ Property / cites work @@
+STRONG BUBBLES AND STRICT LOCAL MARTINGALES
@@ Property / cites work: STRONG BUBBLES AND STRICT LOCAL MARTINGALES / rank @@
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@@ Property / cites work @@
+When Does Convergence of Asset Price Processes Imply Convergence of Option Prices?
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@@ Property / cites work @@
+Weak tail conditions for local martingales
@@ Property / cites work: Weak tail conditions for local martingales / rank @@
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@@ Property / cites work @@
+Q5506186
@@ Property / cites work: Q5506186 / rank @@
+Normal rank
@@ Property / cites work @@
+ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
@@ Property / cites work: ASSET PRICE BUBBLES IN INCOMPLETE MARKETS / rank @@
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@@ Property / cites work @@
+Q4845604
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@@ Property / cites work @@
+Asymptotic arbitrage in large financial markets
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+Strict local martingales and bubbles
@@ Property / cites work: Strict local martingales and bubbles / rank @@
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+A Fundamental Theorem of Asset Pricing for Large Financial Markets
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+Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
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+Rational equilibrium asset-pricing bubbles in continuous trading models
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+Analysis of continuous strict local martingales via \(h\)-transforms
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+Weak convergence of financial markets.
@@ Property / cites work: Weak convergence of financial markets. / rank @@
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@@ Property / cites work @@
+A Mathematical Theory of Financial Bubbles
@@ Property / cites work: A Mathematical Theory of Financial Bubbles / rank @@
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@@ Property / cites work @@
+Complications with stochastic volatility models
@@ Property / cites work: Complications with stochastic volatility models / rank @@
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