Localizing Volatilities
| dc.creator | Atlan, Marc | |
| dc.date | 2006-04-13 | |
| dc.date.accessioned | 2026-07-07T12:11:16Z | |
| dc.date.available | 2026-07-07T12:11:16Z | |
| dc.description | We propose two main applications of Gyöngy (1986)'s construction of inhomogeneous Markovian stochastic differential equations that mimick the one-dimensional marginals of continuous Itô processes. Firstly, we prove Dupire (1994) and Derman and Kani (1994)'s result. We then present Bessel-based stochastic volatility models in which this relation is used to compute analytical formulas for the local volatility. Secondly, we use these mimicking techniques to extend the well-known local volatility results to a stochastic interest rates framework. | |
| dc.identifier | https://arxiv.org/abs/math/0604316 | |
| dc.identifier | http://arxiv.org/abs/math/0604316 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/210172 | |
| dc.subject | Probability | |
| dc.subject | Computational Finance | |
| dc.title | Localizing Volatilities | |
| dc.type | text |