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Volumn 155, Issue 3-4, 2013, Pages 493-520

Can time-homogeneous diffusions produce any distribution?

Author keywords

60G44; 60J60

Indexed keywords


EID: 84875406387     PISSN: 01788051     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00440-011-0405-0     Document Type: Article
Times cited : (12)

References (15)
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    • Cox, A.1    Hobson, D.2
  • 3
    • 84855678731 scopus 로고    scopus 로고
    • Time homogeneous diffusions with a given marginal at a random time
    • arXiv: 0912. 1719 (special issue in honour of Marc Yor, to appear)
    • Cox, A., Hobson, D., Obłój, J.: Time homogeneous diffusions with a given marginal at a random time. ESAIM Probab. Stat. arXiv: 0912. 1719 (special issue in honour of Marc Yor, to appear).
    • ESAIM Probab. Stat
    • Cox, A.1    Hobson, D.2    Obłój, J.3
  • 4
    • 10244230653 scopus 로고    scopus 로고
    • No arbitrage condition for positive diffusion price processes
    • Delbaen F., Shirakawa H.: No arbitrage condition for positive diffusion price processes. Asia Pac. Financ. Mark. 9, 159-168 (2002).
    • (2002) Asia Pac. Financ. Mark. , vol.9 , pp. 159-168
    • Delbaen, F.1    Shirakawa, H.2
  • 5
    • 0002004145 scopus 로고
    • Pricing with a smile
    • Dupire B.: Pricing with a smile. Risk 7, 18-20 (1994).
    • (1994) Risk , vol.7 , pp. 18-20
    • Dupire, B.1
  • 6
    • 79958196167 scopus 로고    scopus 로고
    • Recovering a time-homogeneous stock price process from perpetual option prices
    • Ekström E., Hobson D.: Recovering a time-homogeneous stock price process from perpetual option prices. Ann. Appl. Probab. 21(3), 1102-1135 (2011).
    • (2011) Ann. Appl. Probab. , vol.21 , Issue.3 , pp. 1102-1135
    • Ekström, E.1    Hobson, D.2
  • 7
    • 70049108369 scopus 로고    scopus 로고
    • Bubbles, convexity and the Black-Scholes equation
    • Ekström E., Tysk J.: Bubbles, convexity and the Black-Scholes equation. Ann. Appl. Probab. 19(4), 1369-1384 (2009).
    • (2009) Ann. Appl. Probab. , vol.19 , Issue.4 , pp. 1369-1384
    • Ekström, E.1    Tysk, J.2
  • 8
    • 33747688968 scopus 로고    scopus 로고
    • Springer, New York (2005, corrected 2nd printing 2007)
    • Gut, A.: Probability: A Graduate Course. Springer, New York (2005, corrected 2nd printing 2007).
    • Probability: A Graduate Course
    • Gut, A.1
  • 9
    • 0342419448 scopus 로고    scopus 로고
    • Identifying the volatility of underlying assets from option prices
    • Jiang L., Tao Y.: Identifying the volatility of underlying assets from option prices. Inverse Prob. 17, 137-155 (2001).
    • (2001) Inverse Prob. , vol.17 , pp. 137-155
    • Jiang, L.1    Tao, Y.2
  • 11
    • 0002697265 scopus 로고
    • Characterization of the Levy measures of inverse local times of gap diffusion
    • Birkhäuser, Boston
    • Knight, F. B.: Characterization of the Levy measures of inverse local times of gap diffusion. In: Seminar on Stochastic Processes. pp. 53-78. Birkhäuser, Boston (1981).
    • (1981) Seminar on Stochastic Processes , pp. 53-78
    • Knight, F.B.1
  • 13
    • 84871254071 scopus 로고
    • Using additive functionals to embed preassigned distributions in symmetric stable processes
    • Monroe I.: Using additive functionals to embed preassigned distributions in symmetric stable processes. Trans. Am. Math. Soc. 163, 131-146 (1972).
    • (1972) Trans. Am. Math. Soc. , vol.163 , pp. 131-146
    • Monroe, I.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.