Stochastic flow approach to Dupire's formula
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Publication:2463720
DOI10.1007/s00780-007-0042-8zbMath1141.35034arXivmath/0610809OpenAlexW2167558209MaRDI QIDQ2463720
Publication date: 16 December 2007
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0610809
Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60) Initial value problems for second-order parabolic equations (35K15)
Related Items (5)
Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options ⋮ DUPIRE'S EQUATION FOR BUBBLES ⋮ Financial inverse problem and reconstruction of infinitely divisible distributions with Gaussian component ⋮ Forward equations for option prices in semimartingale models ⋮ The obstacle problem for semilinear parabolic partial integro-differential equations
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