Application of Itô processes and Schwartz distributions to local volatility for Margrabe options

DOI10.1080/17442508.2021.1998506zbMath1505.91388OpenAlexW3217451258MaRDI QIDQ5041048

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Publication date: 18 October 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2021.1998506

zbMATH Keywords

Schwartz distributionsTanaka formulaItô processesMargrabe optionDupire formula

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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