Details

Autor(en) / Beteiligte

• Jourdain, B

Titel

Stochastic flow approach to Dupire’s formula

Ist Teil von

• Finance and stochastics, 2007-10, Vol.11 (4), p.521-535

Ort / Verlag

Heidelberg: Springer Nature B.V

Erscheinungsjahr

2007

Link zum Volltext

Quelle

EBSCOhost Business Source Ultimate

Beschreibungen/Notizen

• The equivalent probabilistic formulation of Dupire's PDE is the put-call duality equality. In local volatility models including exponential Ley jumps, we give a direct probabilistic proof for this result based on stochastic flow arguments. This approach also enables us to check the equivalent probabilistic formulation of various generalizations of Dupire's PDE recently obtained by Pironneau [C. R. Acad. Sci. Paris Ser. I 344(2) 127-133 (2007)] by the adjoint equation technique in the case of complex options.