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Expectation of local times and the Dupire formula - MaRDI portal

Expectation of local times and the Dupire formula (Q2145798)

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scientific article
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English
Expectation of local times and the Dupire formula
scientific article

    Statements

    title
    Expectation of local times and the Dupire formula (English)
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    author
    Kais Hamza
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    Fima C. Klebaner
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    publication date
    20 June 2022
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    zbMATH Keywords
    volatility
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    Dupire formula
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    Itô-Tanaka formula
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    martingales
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    Identifiers

    zbMATH DE Number
    7544399
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    OpenAlex ID
    W2969344247
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    Wikidata QID
    Q113863857
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