Dupire'S Equation For Bubbles
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DOI: 10.1142/S0219024912500410
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References listed on IDEAS
- Amel Bentata & Marc Yor, 2008. "From Black-Scholes and Dupire formulae to last passage times of local martingales. Part A : The infinite time horizon," Papers 0806.0239, arXiv.org.
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Cited by:
- Petteri Piiroinen & Lassi Roininen & Tobias Schoden & Martin Simon, 2018. "Asset Price Bubbles: An Option-based Indicator," Papers 1805.07403, arXiv.org, revised Jul 2018.
- Francesca Biagini & Lukas Gonon & Andrea Mazzon & Thilo Meyer-Brandis, 2022. "Detecting asset price bubbles using deep learning," Papers 2210.01726, arXiv.org, revised Jun 2024.
- P. Carr & A. Itkin, 2021.
"An Expanded Local Variance Gamma Model,"
Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 949-987, April.
- Andrey Itkin, 2020. "An Expanded Local Variance Gamma Model," World Scientific Book Chapters, in: Fitting Local Volatility Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models, chapter 5, pages 101-136, World Scientific Publishing Co. Pte. Ltd..
- Peter Carr & Andrey Itkin, 2018. "An Expanded Local Variance Gamma model," Papers 1802.09611, arXiv.org, revised Dec 2018.
- Andrey Itkin, 2020.
"Geometric Local Variance Gamma Model,"
World Scientific Book Chapters, in: Fitting Local Volatility Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models, chapter 6, pages 137-173,
World Scientific Publishing Co. Pte. Ltd..
- Peter Carr & Andrey Itkin, 2018. "Geometric Local Variance Gamma model," Papers 1809.07727, arXiv.org, revised Dec 2018.
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Keywords
Dupire's equation; strict local martingales; financial bubbles;All these keywords.
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