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On Dupire formula and diffusion with given marginals - MaRDI portal

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On Dupire formula and diffusion with given marginals (Q6630456)

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scientific article; zbMATH DE number 7936617
Language Label Description Also known as
English
On Dupire formula and diffusion with given marginals
scientific article; zbMATH DE number 7936617

    Statements

    title
    On Dupire formula and diffusion with given marginals (English)
    0 references
    author
    J. Y. Fan
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    Fima Klebaner
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    publication date
    31 October 2024
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    zbMATH Keywords
    European call option
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    Brownian motion diffusions
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    family of diffusions
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    Gaussian processes
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    Brownian marginals
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    Identifiers

    Mathematics Subject Classification ID
    60J70
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    60J60
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    60J65
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    60G46
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    60G15
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    zbMATH DE Number
    7936617
    0 references
     
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