On Dupire formula and diffusion with given marginals

DOI10.1007/978-3-031-47417-0_17zbMath1548.60117MaRDI QIDQ6630456

Jie Yen Fan, Fima C. Klebaner

Publication date: 31 October 2024

zbMATH Keywords

Gaussian processesEuropean call optionBrownian marginalsBrownian motion diffusionsfamily of diffusions

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Diffusion processes (60J60) Martingales and classical analysis (60G46) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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