25 Years of Local Volatility and Beyond

B. Dupire

Chapter 17 in Options — 45 Years since the Publication of the Black–Scholes–Merton Model:The Gershon Fintech Center Conference, 2023, pp 377-391 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:OutlineLocal Volatility ModelForward Equations: A Simpler Derivation of the BSM PDEFunctional Itô Calculus: A Framework for Path DependenceConclusionReferences

Keywords: Options; Call; Put; Stock; Equity; Bond; Debt; Dividend; Investment; Diversification; Volatility; Black–Scholes; Merton Model; Stochastic; Swap; Commodity; Index; Contingent Claims; Exotic Option (search for similar items in EconPapers)
JEL-codes: C C02 G1 G11 G12 G15 (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789811259142_0017 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789811259142_0017 (text/html)
Ebook Access is available upon purchase.

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:wsi:wschap:9789811259142_0017

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().