phymath999: volatility tensor Dupire's equation volatility tensor σ. (jk) i. , where index i goes from 1 to d and counts the assets,

Monday, August 11, 2014

volatility tensor Dupire's equation volatility tensor σ. (jk) i. , where index i goes from 1 to d and counts the assets,

[PDF]

DUPIRE'S EQUATION FOR BUBBLES 1. Introduction ...

www2.math.uu.se/~johant/forwardeq.pdf 翻譯這個網頁

We study Dupire's equation for local volatility models with bubbles, i.e. for models in ... and we show that the Dupire equation for call options contains extra.

FpML-VALU40 Variable field for XML elements (from Cyril)

www.fpml.org/_wgmail/_prwgmail/msg00501.html

Mar 5, 2004 - Hi, The question of the representation of the yield curve and volatility tensor has been bothering me for a while. I try to sum it up quickly: ...

[PDF]

Lévy-FBSDE approach to option pricing arXiv ... - arXiv.org

arxiv.org/pdf/1309.2211

arXiv

by E Shamarova - ‎2013 - ‎Related articles

Sep 9, 2013 - assets, we add the stochastic component represented by the volatility tensor σ. (jk) i. , where index i goes from 1 to d and counts the assets, and ...

[PDF]

Towards a generalization of Dupire's equation for several ...

www.researchgate.net/.../72e7e5277dbee0f69d.pdf

ResearchGate

by P Amstera - ‎2009 - ‎Cited by 2 - ‎Related articles

Jan 29, 2009 - the (symmetric) volatility tensor is uniquely determined by each point (w, T ). Such determination is unique provided a sufficiently large yet finite

phymath999

Monday, August 11, 2014

volatility tensor Dupire's equation volatility tensor σ. (jk) i. , where index i goes from 1 to d and counts the assets,

DUPIRE'S EQUATION FOR BUBBLES 1. Introduction ...

FpML-VALU40 Variable field for XML elements (from Cyril)

Lévy-FBSDE approach to option pricing arXiv ... - arXiv.org

Towards a generalization of Dupire's equation for several ...

No comments:

Post a Comment