Mathematics of Speculative Price

DOI10.1137/1015001zbMATH Open0261.90009OpenAlexW2109176024MaRDI QIDQ5677253FDOQ5677253

Authors: Paul A. Samuelson 

Publication date: 1973

Published in: SIAM Review (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/9a83ffd25624ae0e7d4b559ac35f176da1e2f478

Mathematics Subject Classification ID

Stochastic programming (90C15) Utility theory (91B16)

Cited In (11)

• A copula-based model of speculative price dynamics in discrete time
• On the pricing of American options
• A stock model with jumps for uncertain markets
• An extention of Samuelson's warrant valuation model and its application to Japanese data
• Martingales and stochastic integrals in the theory of continuous trading
• Staged venture capital investment considering unexpected major events
• A diffusion model for exchange rates. I: Theoretical introduction
• Forward and futures prices with bubbles
• Discrete hedging in the mean/variance model for European call options
• Implied recovery
• A pricing formula for delayed claims: appreciating the past to value the future

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