Bubbles and crashes in a Black–Scholes model with delay
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DOI: 10.1007/s00780-012-0181-4
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More about this item
Keywords
Stochastic functional differential equation; Resolvent; Renewal equation; Brownian motion; Law of the iterated logarithm; Efficient market hypothesis; 91B26; 91B70; 34K50; 34K25; G14;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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