Options and Bubbles
By Steven Heston, Mark Loewenstein, G. Willard. 2007
194 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/bd917d1f7d3135bc793e35085e544c9c3fb805c2
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Philip Protter
- Peter A. Forsyth
- Erik Ekström
- Aleksandar Mijatovic
- Dilip B Madan 5
- George Labahn
- Johan Tysk
- Daniel Sevcovic
Citations in the corpus
- Analytical and Numerical Methods for Pricing Financial Derivatives (2011, background): “Indeed, Heston in [61] gave an example of a solution to the CIR model having multiple solutions of the bond pricing equation.”
- On the martingale property of certain local martingales (2009, background): “Bubbles have recently attracted attention in the mathematical finance literature; see e.g. Cox and Hobson [9], Ekström and Tysk [13], Heston, Loewenstein, and Willard [19], Jarrow, Protter, and Shimbo [22], Madan and Yor [32], Pal and Protter [36].”
- Ito's Integrated Formula for Strict Local Martingales (2006, background): “In order to prove the result ( 8 ) we replace the local submartingale (St − K) + ,t 0, by a general continuous R + −valued local submartingale”
- Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance (2007, background): “11) is not satisfied is discussed in [23].”
- The Black–Scholes equation in stochastic volatility models (2010, background): “Recently, in [8], the authors studied the one-dimensional Black-Scholes equation in local volatility models with unbounded volatilities at infinity, i.e the kind of models that have been suggested for the modeling of bubbles, see [4], [ 12 ], [14] and [15].”
- Analysis of continuous strict local martingales via h-transforms (2007, background): “For example, Heston, Loewenstein, and Willard [ 15 ] observe that under the existence of bubbles in the underlying price process, put-call parity might not hold, American calls have no optimal exercise policy, and lookback calls have infinite value.”
- Bubbles, convexity and the Black–Scholes equation (2009, background): “The Annals of Applied Probability 2009, Vol. 19, No. 4, 1369–1384 DOI: 10.1214/08-AAP579 © Institute of Mathematical Statistics, 2009”