Asymptotic asset pricing and bubbles-Reference-Cited by-同舟云学术

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Asymptotic asset pricing and bubbles

Published:2017-11-23 Issue:2 Volume:12 Page:275-304
ISSN:1862-9679
Container-title:Mathematics and Financial Economics
language:en
Short-container-title:Math Finan Econ

Author:

Roch Alexandre^ORCID

Funder

Canadian Network for Research and Innovation in Machining Technology, Natural Sciences and Engineering Research Council of Canada

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Link

http://link.springer.com/article/10.1007/s11579-017-0204-1/fulltext.html

Reference29 articles.

1. Badescu, A., Elliott, E.J., Ortega, J.-P.: Non-Gaussian GARCH option pricing models and their diffusion limits. Eur. J. Oper. Res. 247, 820–830 (2013)

2. Barone-Adesi, G., Engle, R.F., Mancini, L.: A GARCH option pricing model with filtered historical simulation. Rev. Financ. Stud. 21, 1223–1258 (2008)

3. Bayraktar, E., Kardaras, C., Xing, H.: Strict local martingale deflators and valuing American call-type options. Finance Stoch. 16, 275–291 (2012)

4. Biagini, F., Föllmer, H., Nedelcu, S.: Shifting martingale measures and the birth of a bubble as a submartingale. Finance Stoch. 18, 297–326 (2014)

5. Christoffersen, P., Jacobs, K.: Which GARCH model for option valuation? Manag. Sci. 50, 1204–1221 (2004)

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Bubbles in discrete-time models;Finance and Stochastics;2022-09-13

2. Large Financial Markets, Discounting, and No Asymptotic Arbitrage;Theory of Probability & Its Applications;2020-01

3. Large Financial Markets, Discounting, and No Asymptotic Arbitrage;SSRN Electronic Journal;2018

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