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math.PR2011★ 29 cited
Boundary conditions for the single-factor term structure equation
Erik Ekström, Johan Tysk
We study the term structure equation for single-factor models that predict nonnegative short rates. In particular, we show that the price of a bond or a bond option is the unique c…
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…