The functional Meyer–Tanaka formula (Q4584281): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.4193
@@ Property / arXiv ID: 1408.4193 / rank @@
+Normal rank
@@ Property / cites work @@
+An Extension of Ito’s Differentiation Formula
@@ Property / cites work: An Extension of Ito’s Differentiation Formula / rank @@
+Normal rank
@@ Property / cites work @@
+Change of variable formulas for non-anticipative functionals on path space
+Normal rank
@@ Property / cites work @@
+Functional Itō calculus and stochastic integral representation of martingales
+Normal rank
@@ Property / cites work @@
+The valuation of American call options on the minimum of two dividend-paying assets
+Normal rank
@@ Property / cites work @@
+Arbitrage pricing of Russian options and perpetual lookback options
+Normal rank
@@ Property / cites work @@
+Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
+Normal rank
@@ Property / cites work @@
+Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
+Normal rank
@@ Property / cites work @@
+Generalized Itǒ Formulae and Space-Time Lebesgue–Stieltjes Integrals of Local Times
+Normal rank
@@ Property / cites work @@
+A generalized Itô's formula in two-dimensions and stochastic Lebesgue-Stieltjes integrals
+Normal rank
@@ Property / cites work @@
+Quadratic covariation and an extension of Itô's formula
+Normal rank
@@ Property / cites work @@
+Q4473010
@@ Property / cites work: Q4473010 / rank @@
+Normal rank
@@ Property / cites work @@
+Functional Itô calculus, path-dependence and the computation of Greeks
+Normal rank
@@ Property / cites work @@
+Q4039796
@@ Property / cites work: Q4039796 / rank @@
+Normal rank
@@ Property / cites work @@
+Option price when the stock is a semimartingale
@@ Property / cites work: Option price when the stock is a semimartingale / rank @@
+Normal rank
@@ Property / cites work @@
+Nondifferentiable functions of one-dimensional semimartingales
+Normal rank
@@ Property / cites work @@
+Local time and the pricing of path-dependent options
+Normal rank
@@ Property / cites work @@
+The functional Itō formula under the family of continuous semimartingale measures
+Normal rank
@@ Property / cites work @@
+A complete characterization of local martingales which are functions of Brownian motion and its maximum
+Normal rank
@@ Property / cites work @@
+BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
+Normal rank
@@ Property / cites work @@
+A change-of-variable formula with local time on curves
+Normal rank
@@ Property / cites work @@
+Ito formula for \(C^ 1\)-functions of semimartingales
+Normal rank
@@ Property / OpenAlex ID @@
+W3121223669
@@ Property / OpenAlex ID: W3121223669 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:4584281