Stochastic flow approach to Dupire’s formula
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References listed on IDEAS
- Fajardo, J. & Mordecki, E., 2003. "Put-Call Duality and Symmetry," Finance Lab Working Papers flwp_54, Finance Lab, Insper Instituto de Ensino e Pesquisa.
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KeywordsPut-call duality; Stochastic flows; Dupire’s PDE; Stock models with jumps and local volatility; 35K15; 60H30; 91B70; G13; C52; C63;
- 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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