Dupire-like identities for complex options

DOI10.1016/j.crma.2006.11.032zbMath1371.91182OpenAlexW2039592080MaRDI QIDQ869454

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

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

Related Items

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

Cites Work

• Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
• The Mathematics of Financial Derivatives
• Computational Methods for Option Pricing
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach