A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance
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Publication:2132538
DOI10.1016/J.SPA.2022.02.010zbMath1491.60074arXiv2101.03759OpenAlexW4214859237WikidataQ113863845 ScholiaQ113863845MaRDI QIDQ2132538
Grégoire Loeper, Bruno Bouchard, Xiaolu Tan
Publication date: 28 April 2022
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2101.03759
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (4)
Robustness of Delta Hedging in a Jump-Diffusion Model ⋮ Weak Dirichlet processes and generalized martingale problems ⋮ Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability ⋮ A \(C^1\)-Itô's formula for flows of semimartingale distributions
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