{"id":"https://openalex.org/W1994438934","doi":"https://doi.org/10.1007/s00780-005-0162-y","title":"Local martingales, bubbles and option prices","display_name":"Local martingales, bubbles and option prices","publication_year":2005,"publication_date":"2005-08-24","ids":{"openalex":"https://openalex.org/W1994438934","doi":"https://doi.org/10.1007/s00780-005-0162-y","mag":"1994438934"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-005-0162-y","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-005-0162-y","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5090078435","display_name":"Alexander M. G. Cox","orcid":"https://orcid.org/0000-0001-5151-9126"},"institutions":[{"id":"https://openalex.org/I52099693","display_name":"University of York","ror":"https://ror.org/04m01e293","country_code":"GB","type":"education","lineage":["https://openalex.org/I52099693"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Alexander M. G. Cox","raw_affiliation_strings":["Department of Mathematics, University of York, Heslington, YO10 5DD, York, UK","Department of Mathematics, University of York, York\u00a0, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, University of York, Heslington, YO10 5DD, York, UK","institution_ids":["https://openalex.org/I52099693"]},{"raw_affiliation_string":"Department of Mathematics, University of York, York\u00a0, UK","institution_ids":["https://openalex.org/I52099693"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5071347627","display_name":"David Hobson","orcid":"https://orcid.org/0000-0002-4686-5793"},"institutions":[{"id":"https://openalex.org/I51601045","display_name":"University of Bath","ror":"https://ror.org/002h8g185","country_code":"GB","type":"education","lineage":["https://openalex.org/I51601045"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"David G. Hobson","raw_affiliation_strings":["Department of Mathematical Sciences, University of Bath, Claverton Down, BA2 7AY, Bath, UK","Department of Mathematical Sciences, University of Bath, Bath, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematical Sciences, University of Bath, Claverton Down, BA2 7AY, Bath, UK","institution_ids":["https://openalex.org/I51601045"]},{"raw_affiliation_string":"Department of Mathematical Sciences, University of Bath, Bath, UK","institution_ids":["https://openalex.org/I51601045"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5090078435"],"corresponding_institution_ids":["https://openalex.org/I52099693"],"apc_list":{"value":2090,"currency":"USD","value_usd":2090},"apc_paid":null,"fwci":6.5658,"has_fulltext":false,"cited_by_count":256,"citation_normalized_percentile":{"value":0.9660106,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":94,"max":100},"biblio":{"volume":"9","issue":"4","first_page":"477","last_page":"492"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9810000061988831,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11976","display_name":"Capital Investment and Risk Analysis","score":0.9559000134468079,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.7216799855232239},{"id":"https://openalex.org/keywords/martingale","display_name":"Martingale (probability theory)","score":0.6955685019493103},{"id":"https://openalex.org/keywords/call-option","display_name":"Call option","score":0.6122021079063416},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.608374834060669},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.5801081657409668},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5616093277931213},{"id":"https://openalex.org/keywords/risk-neutral-measure","display_name":"Risk-neutral measure","score":0.5374809503555298},{"id":"https://openalex.org/keywords/bubble","display_name":"Bubble","score":0.5330134034156799},{"id":"https://openalex.org/keywords/local-martingale","display_name":"Local martingale","score":0.5254591703414917},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.5011847019195557},{"id":"https://openalex.org/keywords/put-option","display_name":"Put option","score":0.4790707528591156},{"id":"https://openalex.org/keywords/economic-bubble","display_name":"Economic bubble","score":0.46435168385505676},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.4632735252380371},{"id":"https://openalex.org/keywords/fair-value","display_name":"Fair value","score":0.44792768359184265},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.41611409187316895},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3466186225414276},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.13951238989830017},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.11863994598388672},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.11084270477294922}],"concepts":[{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.7216799855232239},{"id":"https://openalex.org/C48406656","wikidata":"https://www.wikidata.org/wiki/Q534112","display_name":"Martingale (probability theory)","level":2,"score":0.6955685019493103},{"id":"https://openalex.org/C2777600642","wikidata":"https://www.wikidata.org/wiki/Q1508707","display_name":"Call option","level":2,"score":0.6122021079063416},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.608374834060669},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5801081657409668},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5616093277931213},{"id":"https://openalex.org/C85106312","wikidata":"https://www.wikidata.org/wiki/Q1058362","display_name":"Risk-neutral measure","level":2,"score":0.5374809503555298},{"id":"https://openalex.org/C157915830","wikidata":"https://www.wikidata.org/wiki/Q2928001","display_name":"Bubble","level":2,"score":0.5330134034156799},{"id":"https://openalex.org/C58435881","wikidata":"https://www.wikidata.org/wiki/Q1868500","display_name":"Local martingale","level":3,"score":0.5254591703414917},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.5011847019195557},{"id":"https://openalex.org/C2778311368","wikidata":"https://www.wikidata.org/wiki/Q1939618","display_name":"Put option","level":2,"score":0.4790707528591156},{"id":"https://openalex.org/C201543015","wikidata":"https://www.wikidata.org/wiki/Q207781","display_name":"Economic bubble","level":2,"score":0.46435168385505676},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4632735252380371},{"id":"https://openalex.org/C63149375","wikidata":"https://www.wikidata.org/wiki/Q14136184","display_name":"Fair value","level":2,"score":0.44792768359184265},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.41611409187316895},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3466186225414276},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.13951238989830017},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.11863994598388672},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.11084270477294922},{"id":"https://openalex.org/C173608175","wikidata":"https://www.wikidata.org/wiki/Q232661","display_name":"Parallel computing","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s00780-005-0162-y","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-005-0162-y","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:finsto:v:9:y:2005:i:4:p:477-492","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s00780-005-0162-y","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/17","score":0.4000000059604645,"display_name":"Partnerships for the goals"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":18,"referenced_works":["https://openalex.org/W61400180","https://openalex.org/W1508947067","https://openalex.org/W1556571995","https://openalex.org/W1717697016","https://openalex.org/W1984923661","https://openalex.org/W2006521225","https://openalex.org/W2041550349","https://openalex.org/W2044965965","https://openalex.org/W2050784575","https://openalex.org/W2057854688","https://openalex.org/W2076458153","https://openalex.org/W2113062208","https://openalex.org/W2148080284","https://openalex.org/W2168505813","https://openalex.org/W2480331696","https://openalex.org/W3122004322","https://openalex.org/W3124960685","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W3202978027","https://openalex.org/W1946585902","https://openalex.org/W43266575","https://openalex.org/W2561677606","https://openalex.org/W1883087451","https://openalex.org/W2528651429","https://openalex.org/W2387777833","https://openalex.org/W2487602427","https://openalex.org/W2489519385","https://openalex.org/W2922137255"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":6},{"year":2023,"cited_by_count":10},{"year":2022,"cited_by_count":9},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":6},{"year":2019,"cited_by_count":9},{"year":2018,"cited_by_count":12},{"year":2017,"cited_by_count":15},{"year":2016,"cited_by_count":23},{"year":2015,"cited_by_count":17},{"year":2014,"cited_by_count":16},{"year":2013,"cited_by_count":24},{"year":2012,"cited_by_count":29}],"updated_date":"2026-08-21T09:56:20.448147","created_date":"2025-10-10T00:00:00"}