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Stochastic flow approach to Dupire’s formula

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Author Info
B. Jourdain ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s00780-007-0042-8
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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 11 (2007)
Issue (Month): 4 (October)
Pages: 521-535
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Handle: RePEc:spr:finsto:v:11:y:2007:i:4:p:521-535

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Web page: http://www.springerlink.com/content/101164/

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Related research
Keywords: Put-call duality; Stochastic flows; Dupire’s PDE; Stock models with jumps and local volatility; 35K15; 60H30; 91B70; G13; C52; C63;

References listed on IDEAS
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  1. Fajardo, J. & Mordecki, E., 2003. "Put-Call Duality and Symmetry," Finance Lab Working Papers flwp_54, Finance Lab, Ibmec São Paulo. [Downloadable!]
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This page was last updated on 2009-11-25.

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