Expectation of local times and the Dupire formula

K. Hamza; F. C. Klebaner

doi:10.1016/j.spa.2019.07.013

Expectation of local times and the Dupire formula

School of Mathematics

Research output: Contribution to journal › Article › Research › peer-review

4 Citations (Scopus)

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.

Original language	English
Pages (from-to)	782-787
Number of pages	6
Journal	Stochastic Processes and their Applications
Volume	150
DOIs	https://doi.org/10.1016/j.spa.2019.07.013
Publication status	Published - Aug 2022

Keywords

Dupire formula
Itô–Tanaka formula
Martingales
Volatility

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10.1016/j.spa.2019.07.013

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title = "Expectation of local times and the Dupire formula",

abstract = "In this paper, we give a sufficient condition under which the local martingale that appears in It{\^o}{\textquoteright}s formula is a true martingale. As a consequence, we obtain a rigorous proof of the Dupire formula on local volatility.",

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author = "K. Hamza and Klebaner, \{F. C.\}",

year = "2022",

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T1 - Expectation of local times and the Dupire formula

AU - Hamza, K.

AU - Klebaner, F. C.

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AB - 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.

KW - Dupire formula

KW - Itô–Tanaka formula

KW - Martingales

KW - Volatility

UR - https://www.scopus.com/pages/publications/85071500798

U2 - 10.1016/j.spa.2019.07.013

DO - 10.1016/j.spa.2019.07.013

M3 - Article

AN - SCOPUS:85071500798

SN - 0304-4149

VL - 150

SP - 782

EP - 787

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

ER -

Expectation of local times and the Dupire formula

Abstract

Keywords

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