Stochastic flows approach to Dupire's formula

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dc.creatorJourdain, Benjamin
dc.date2006-10-26
dc.date.accessioned2026-07-07T07:29:29Z
dc.date.available2026-07-07T07:29:29Z
dc.descriptionThe probabilistic equivalent formulation of Dupire's PDE is the Put-Call duality equality. In local volatility models including exponential Lévy jumps, we give a direct probabilistic proof for this result based on stochastic flows arguments. This approach also enables us to check the probabilistic equivalent formulation of various generalizations of Dupire's PDE recently obtained by Pironneau by the adjoint equation technique in the case of complex options.
dc.identifierhttps://arxiv.org/abs/math/0610809
dc.identifierhttp://arxiv.org/abs/math/0610809
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/118130
dc.subjectProbability
dc.titleStochastic flows approach to Dupire's formula
dc.typetext

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