Martingales versus PDEs in finance: an equivalence result with examples
By D. Heath, Martin Schweizer. Journal of Applied Probability, 2000
138 citations recorded by the source corpus.
Subfields: Demography, Finance
View Paper: https://www.semanticscholar.org/paper/6c8cbf16b4359fce762ad4798a58d8e3d52f08e8
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Demography
- Johan Tysk
- Svante Janson
- Bernard Wong
- Chris C. Heyde
- Erik Ekström
- J. Ruf
- Eckhard Platen
- Dirk Becherer
In Finance
- Ioannis Karatzas
- J. Ruf
- Chris C. Heyde
- Bernard Wong
- Martin Schweizer
- Johan Tysk
- Erik Ekström
- D. Heath
Citations in the corpus
- Utility–indifference hedging and valuation via reaction–diffusion systems (2004, background): “Davis (2000, unpublished work), Henderson & Hobson (2002), Henderson (2002) and M.”
- Feynman–kac Formulas for Black–Scholes–Type Operators (2006, methodology): “A general treatment can be found in Friedman’s [2, Chapter 15], and an example closer to the present article is given by the work of Heath and Schweizer [3].”
- Distribution of the time to explosion for one-dimensional diffusions (2013, result): “For similar results, see Section 3.5 in McKean (1969), Theorem 5.6.1 in Friedman (1976), Heath and Schweizer (2000), Bayraktar et al. (2012), and Ruf (2013a).”
- On changes of measure in stochastic volatility models (2006, methodology): “This class nests the core of the Brownian-motion-based stochastic volatility models encompassed in the literature, including the models of Heston [18], Hull and White [20], Lewis [23].”
- A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets (2001, methodology): “Moreover, arguments as in Heath and Schweizer (2000) show that the Galtchouk–Kunita–Watanabe decomposition (2.”
- HEDGING UNDER ARBITRAGE (2010, unknown): “In this context, we provide sufficient conditions to ensure the differentiabilityof the hedging price, generalizing results by Heath and Schweizer (2000), Janson and Tysk (2006), and Ekström and Tysk (2009).”
- The Black–Scholes equation in stochastic volatility models (2010, background): “A treatment of these problems when the boundary of the state space is not hit can be found in [10].”