Stochastic flow approach to Dupire’s formula
| Year of publication: |
2007
|
|---|---|
| Authors: | Jourdain, B. |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 11.2007, 4, p. 521-535
|
| Publisher: |
Springer |
| Subject: | Put-call duality | Stochastic flows | Dupire’s PDE | Stock models with jumps and local volatility |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005390649