Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values
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Publication:2466254
DOI10.1016/J.ANIHPC.2005.12.005zbMATH Open1130.91340OpenAlexW1998331916MaRDI QIDQ2466254FDOQ2466254
Publication date: 14 January 2008
Published in: Annales de l'Institut Henri Poincaré. Analyse Non Linéaire (Search for Journal in Brave)
Full work available at URL: http://www.numdam.org/item?id=AIHPC_2007__24_3_361_0
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Cites Work
- The pricing of options and corporate liabilities
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- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
- Large investor trading impacts on volatility
- Market volatility and feedback effects from dynamic hedging
- Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
- Une classe nouvelle de problèmes singuliers de contrôle stochastique
- Towards a self-consistent theory of volatility
- Title not available (Why is that?)
Cited In (5)
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