Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values

P.-L. Lions; J.-M. Lasry

Annales de l'I.H.P. Analyse non linéaire (2007)

  • Volume: 24, Issue: 3, page 361-368
  • ISSN: 0294-1449

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Lions, P.-L., and Lasry, J.-M.. "Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values." Annales de l'I.H.P. Analyse non linéaire 24.3 (2007): 361-368. <http://eudml.org/doc/78739>.

@article{Lions2007,
author = {Lions, P.-L., Lasry, J.-M.},
journal = {Annales de l'I.H.P. Analyse non linéaire},
language = {eng},
number = {3},
pages = {361-368},
publisher = {Elsevier},
title = {Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values},
url = {http://eudml.org/doc/78739},
volume = {24},
year = {2007},
}

TY - JOUR
AU - Lions, P.-L.
AU - Lasry, J.-M.
TI - Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values
JO - Annales de l'I.H.P. Analyse non linéaire
PY - 2007
PB - Elsevier
VL - 24
IS - 3
SP - 361
EP - 368
LA - eng
UR - http://eudml.org/doc/78739
ER -

References

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  2. [2] Black F., Scholes M., The pricing of options and corporate liabilities, J. Political Economy81 (1973) 637-659. Zbl1092.91524
  3. [3] Constantinides G., Zariphopoulou Th., Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences, Finance Stoch.3 (1999) 345-369. Zbl0935.91014MR1842289
  4. [4] Fleming W.H., Soner M.H., Controlled Markov Processes and Viscosity Solutions, Springer, Berlin, 1993. Zbl0773.60070MR1199811
  5. [5] Föllmer H., Stock price fluctuation as a diffusion in a random environment, in: Howison S.D., Kelly F.P., Wilmott P. (Eds.), Mathematical Models in Finance, Chapman–Hall, London, 1995. Zbl0854.90012
  6. [6] R. Frey, A. Stremme, Portfolio insurance and volatility, Department of Economics, Univ. of Bonn (Discussion paper B-256). 
  7. [7] Lasry J.-M., Lions P.-L., Une classe nouvelle de problèmes singuliers de contrôle stochastique, C. R. Acad. Sci. Paris, Ser. I331 (2000) 879-885. Zbl0971.49015MR1806426
  8. [8] J.-M. Lasry, P.-L. Lions, Large investor trading impacts on volatility, Preprint. Zbl1153.91428MR2310697
  9. [9] J.-M. Lasry, P.-L. Lions, Towards a self-consistent theory of volatility, Preprint. Zbl1127.91027MR2281452
  10. [10] Merton R., Theory of rational option pricing, Bull. J. Econom. Manag. Sci.4 (1973) 141-183. Zbl1257.91043MR496534
  11. [11] M. Musiela, Th. Zariphopoulou, Indifference prices and related measures, Preprint. 

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