Application of Itô processes and Schwartz distributions to local volatility for Margrabe options (Q5041048)
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scientific article; zbMATH DE number 7603220
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Application of Itô processes and Schwartz distributions to local volatility for Margrabe options |
scientific article; zbMATH DE number 7603220 |
Statements
Application of Itô processes and Schwartz distributions to local volatility for Margrabe options (English)
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18 October 2022
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Dupire formula
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Itô processes
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Margrabe option
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Tanaka formula
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Schwartz distributions
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