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  • Search: subject:"Explosive Diffusion Processes"
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Year of publication
Subject
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Bubbles 1 Explosive Diffusion Processes 1 Financial Bubbles 1 Local Martingales 1 Market integration 1 Marktintegration 1 Martingal 1 Martingale 1 Option pricing theory 1 Optionspreistheorie 1 Single Jump 1 Spekulationsblase 1 Stochastic process 1 Stochastischer Prozess 1 Uniformly Integrable Martingales 1 Volatility 1 Volatilität 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1
Author
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Schatz, Michael 1 Sornette, Didier 1
Published in...
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Research paper series / Swiss Finance Institute 1 Swiss Finance Institute Research Paper 1
Source
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ECONIS (ZBW) 1
Showing 1 - 1 of 1
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Uniform integrability of a single jump local martingale with state-dependent characteristics
Schatz, Michael; Sornette, Didier - 2017
We investigate a deterministic criterion to determine whether a diffusive local martingale with a single jump and state-dependent characteristics is a uniformly integrable martingale. We allow the diffusion coefficient, the jump hazard rate and the relative jump size to depend on the state and...
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