How to make Dupire’s local volatility work with jumps

DOI10.1080/14697688.2013.874622zbMath1402.91776arXiv1302.5548OpenAlexW3125623964MaRDI QIDQ5245895

Stefan Gerhold, Marc Yor, Peter K. Friz

Publication date: 16 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.5548

zbMATH Keywords

Fokker-Planck equationvolatility surfacescomputational financelocal volatility theory

Mathematics Subject Classification ID

Related Items (11)

EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS ⋮ Extrapolation Analytics for Dupire’s Local Volatility ⋮ Asymptotics for $$d$$ -Dimensional Lévy-Type Processes ⋮ Option pricing in the moderate deviations regime ⋮ Option pricing in illiquid markets: a fractional jump-diffusion approach ⋮ Local volatility under rough volatility ⋮ Reconstruction of the time-dependent volatility function using the Black-Scholes model ⋮ Pricing approximations and error estimates for local Lévy-type models with default ⋮ Extreme at-the-money skew in a local volatility model ⋮ General Smile Asymptotics with Bounded Maturity ⋮ Analytical Expansions for Parabolic Equations

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