Dupire's equation for bubbles

DOI10.1142/S0219024912500410MaRDI QIDQ4649504zbMATH OpenFDO

Authors Erik Ekström, Johan Tysk

Publication date 22 November 2012

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

zbMATH Keywords

financial bubblesstrict local martingalesDupire's equation

Mathematics Subject Classification ID

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

Recommendations

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• A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL

Cites work

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

Cited in

(7)

• Bubbles, convexity and the Black-Scholes equation
• How to make Dupire's local volatility work with jumps
• Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility
• Fake exponential Brownian motion
• Stochastic flow approach to Dupire's formula
• Expectation of local times and the Dupire formula
• Detecting asset price bubbles using deep learning

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