Expectation of local times and the Dupire formula

K. Hamza and F.C. Klebaner

Stochastic Processes and their Applications, 2022, vol. 150, issue C, 782-787

Abstract: In this paper, we give a sufficient condition under which the local martingale that appears in Itô’s formula is a true martingale. As a consequence, we obtain a rigorous proof of the Dupire formula on local volatility.

Keywords: Volatility; Dupire formula; Itô–Tanaka formula; Martingales (search for similar items in EconPapers)
Date: 2022
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304414919300298
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:150:y:2022:i:c:p:782-787

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spa.2019.07.013

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().