39 citations · 39 across the 2 of their papers we have counts for
3 papers
math.PR2009★ 39 cited
Bubbles, convexity and the Black--Scholes equation
Erik Ekström, Johan Tysk
A bubble is characterized by the presence of an underlying asset whose discounted price process is a strict local martingale under the pricing measure. In such markets, many standa…
math.AP2006
Convexity preserving jump-diffusion models for option pricing
Erik Ekström, Johan Tysk
We investigate which jump-diffusion models are convexity preserving. The study of convexity preserving models is motivated by monotonicity results for such models in the volatility…
math.AP2005
A boundary point lemma for Black-Scholes type operators
Erik Ekström, Johan Tysk
We prove a sharp version of the Hopf boundary point lemma for Black-Scholes type equations. We also investigate the existence and the regularity of the spatial derivative of the so…