Stochastic flow approach to Dupire's formula

DOI10.1007/s00780-007-0042-8zbMath1141.35034arXivmath/0610809MaRDI QIDQ2463720

Benjamin Jourdain

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

zbMATH Keywords

stochastic flows; put-call duality; Dupire's PDE; stock model with jumps and local volatility

Mathematics Subject Classification ID

91B70: Stochastic models in economics

60H30: Applications of stochastic analysis (to PDEs, etc.)

35R60: PDEs with randomness, stochastic partial differential equations

35K15: Initial value problems for second-order parabolic equations

Related Items

DUPIRE'S EQUATION FOR BUBBLES, The obstacle problem for semilinear parabolic partial integro-differential equations, Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options, Financial inverse problem and reconstruction of infinitely divisible distributions with Gaussian component, Forward equations for option prices in semimartingale models

Cites Work

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• Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options
• Dupire-like identities for complex options
• Dirichlet forms and analysis on Wiener space
• Symmetry and duality in Lévy markets