Ito's integrated formula for strict local martingales
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Publication:5294261
zbMATH Open1133.60025MaRDI QIDQ5294261FDOQ5294261
Authors: Dilip B. Madan, Marc Yor 
Publication date: 24 July 2007
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- Financial models with defaultable numéraires
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- On the hedging of options on exploding exchange rates
- Expectation of local times and the Dupire formula
- Strict local martingales and the Khasminskii test for explosions
- Ito's Integrated Formula for Strict Local Martingales with Jumps
- Negative call prices
- Analysis of continuous strict local martingales via \(h\)-transforms
- STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT
- Hedging for the long run
- Option pricing with quadratic volatility: a revisit
- Strict local martingale deflators and valuing American call-type options
- On certain integral functionals of squared Bessel processes
- Fragility of arbitrage and bubbles in local martingale diffusion models
- Strict local martingales and bubbles
- The tail estimation of the quadratic variation of a quasi left continuous local martingale
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