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Stochastic flow approach to Dupire’s formula

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  • B. Jourdain

Abstract

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Suggested Citation

  • B. Jourdain, 2007. "Stochastic flow approach to Dupire’s formula," Finance and Stochastics, Springer, vol. 11(4), pages 521-535, October.
    • Handle: RePEc:spr:finsto:v:11:y:2007:i:4:p:521-535
    DOI: 10.1007/s00780-007-0042-8
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    References listed on IDEAS

    as
    1. Fajardo, J. & Mordecki, E., 2003. "Put-Call Duality and Symmetry," Finance Lab Working Papers flwp_54, Finance Lab, Insper Instituto de Ensino e Pesquisa.
    2. Aur'elien Alfonsi & Benjamin Jourdain, 2006. "A Call-Put Duality for Perpetual American Options," Papers math/0612648, arXiv.org.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Put-call duality; Stochastic flows; Dupire’s PDE; Stock models with jumps and local volatility; 35K15; 60H30; 91B70; G13; C52; C63;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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