Dupire's equation for bubbles

DOI10.1142/S0219024912500410zbMATH Open1262.91133MaRDI QIDQ4649504FDOQ4649504

Erik Ekström, Johan Tysk

Publication date: 22 November 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Recommendations

• Stochastic flow approach to Dupire's formula
• Bubbles, convexity and the Black-Scholes equation
• Local martingales, bubbles and option prices
• Towards a generalization of Dupire's equation for several assets
• A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL

zbMATH Keywords

financial bubblesstrict local martingalesDupire's equation

Mathematics Subject Classification ID

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

Cites Work

• Interior Schauder estimates for parabolic differential- (or difference-) equations via the maximum principle
• Bubbles, convexity and the Black-Scholes equation
• Local martingales, bubbles and option prices
• ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• Smooth Transition Densities for One-Dimensional Diffusions
• On exponential local martingales associated with strong Markov continuous local martingales
• Stochastic flow approach to Dupire's formula

Cited In (3)

• Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility
• Fake exponential Brownian motion
• Detecting asset price bubbles using deep learning

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