Add to ORKGThe 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
International audienceIt is well known that in models with time-homogeneous local volatility functio...
In this paper we consider the pricing of an American call option whose underlying asset dynamics evo...
Le;vy processes form a wide and rich class of random process, and have many applications ranging fro...
The probabilistic equivalent formulation of Dupire's PDE is the Put-Call duality equality. In local ...
We derive generalizations of Dupire formula to the cases of general stochastic drift and/or stochast...
Abstract. We study Dupire’s equation for local volatility models with bubbles, i.e. for models in wh...
AbstractWe pose the problem of generalizing Dupire's equation for the price of call options on a bas...
We begin with the classic result of Dupire which shows that any diffusion model with stochastic vola...
Abstract. We study Dupire’s equation for local volatility models with bubbles. The equation for call...
A forward equation, which is also called the Dupire formula, is obtained for European call options w...
A forward equation, which is also called the Dupire formula, is obtained for European call options w...
International audienceFor general time-dependent local volatility models, we propose new approximati...
International audienceFor general time-dependent local volatility models, we propose new approximati...
We propose two main applications of Gy\"{o}ngy (1986)'s construction of inhomogeneous Markovian stoc...
We analyze the valuation partial differential equation for European contingent claims in a general f...
International audienceIt is well known that in models with time-homogeneous local volatility functio...
In this paper we consider the pricing of an American call option whose underlying asset dynamics evo...
Le;vy processes form a wide and rich class of random process, and have many applications ranging fro...
The probabilistic equivalent formulation of Dupire's PDE is the Put-Call duality equality. In local ...
We derive generalizations of Dupire formula to the cases of general stochastic drift and/or stochast...
Abstract. We study Dupire’s equation for local volatility models with bubbles, i.e. for models in wh...
AbstractWe pose the problem of generalizing Dupire's equation for the price of call options on a bas...
We begin with the classic result of Dupire which shows that any diffusion model with stochastic vola...
Abstract. We study Dupire’s equation for local volatility models with bubbles. The equation for call...
A forward equation, which is also called the Dupire formula, is obtained for European call options w...
A forward equation, which is also called the Dupire formula, is obtained for European call options w...
International audienceFor general time-dependent local volatility models, we propose new approximati...
International audienceFor general time-dependent local volatility models, we propose new approximati...
We propose two main applications of Gy\"{o}ngy (1986)'s construction of inhomogeneous Markovian stoc...
We analyze the valuation partial differential equation for European contingent claims in a general f...
International audienceIt is well known that in models with time-homogeneous local volatility functio...
In this paper we consider the pricing of an American call option whose underlying asset dynamics evo...
Le;vy processes form a wide and rich class of random process, and have many applications ranging fro...