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

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical methods (including Monte Carlo methods) (91G60) 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)

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)

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

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