Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values

DOI10.1016/J.ANIHPC.2005.12.005MaRDI QIDQ2466254zbMATH OpenOpenAlexFDO

Authors P.-L. Lions, J.-M. Lasry

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, https://eudml.org/doc/78739

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• scientific article; zbMATH DE number 912563 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
• Large investor trading impacts on volatility
• Market volatility and feedback effects from dynamic hedging
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• The pricing of options and corporate liabilities
• Towards a self-consistent theory of volatility
• Une classe nouvelle de problèmes singuliers de contrôle stochastique

Cited in

(5)

• ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION
• From mean field games to Navier-Stokes equations
• Ergodic mean field games with Hörmander diffusions
• On a class of singular stochastic control problems driven by Lévy noise
• Asymptotics for a symmetric equation in price formation

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