Dupire-like identities for complex options

DOI10.1016/J.CRMA.2006.11.032MaRDI QIDQ869454zbMATH OpenOpenAlexFDO

Authors Olivier Pironneau

Publication date 2 March 2007

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2006.11.032

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Stochastic flow approach to Dupire's formula
• Towards a generalization of Dupire's equation for several assets
• The forward Kolmogorov equation for two dimensional options
• Forward equations for option prices in semimartingale models
• Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility

Cites work

• Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
• Computational Methods for Option Pricing
• Stock price distributions with stochastic volatility: an analytic approach
• The Mathematics of Financial Derivatives

Cited in

(5)

• The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing
• Stochastic flow approach to Dupire's formula
• Adaptive trust-region POD methods in PIDE-constrained optimization
• A forward equation for barrier options under the Brunick \& Shreve Markovian projection
• Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options

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