Numerical option pricing in the presence of bubbles

DOI10.1080/14697688.2010.495078zbMath1267.91080OpenAlexW2053250282MaRDI QIDQ5300438

Lina von Sydow, Erik Ekström, Johan Tysk, Per Loetstedt

Publication date: 27 June 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.495078

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Uniqueness in Cauchy problems for diffusive real-valued strict local martingales ⋮ Strict local martingale deflators and valuing American call-type options ⋮ Approximating functionals of local martingales under lack of uniqueness of the Black–Scholes PDE solution ⋮ On optimal arbitrage ⋮ A Mathematical Theory of Financial Bubbles

Uses Software

• Mathematica

Cites Work

• Bubbles, convexity and the Black-Scholes equation
• Local martingales, bubbles and option prices
• Complications with stochastic volatility models

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