Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility

DOI10.1137/21m1390906zbMath1517.91247arXiv2005.05530OpenAlexW4376617576MaRDI QIDQ6159078

Bernhard Hientzsch, Orcan Ögetbil

Publication date: 1 June 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.05530

zbMATH Keywords

local volatilitystochastic local volatilitystochastic ratesdupire equation

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• A Theory of the Term Structure of Interest Rates
• Arbitrage-free SVI volatility surfaces
• Arbitrage-free smoothing of the implied volatility surface
• Markov interest rate models
• A forward equation for barrier options under the Brunick & Shreve Markovian projection
• Unnamed Item

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