Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility
Work
Year: 2023
Type: article
Abstract: .We derive generalizations of the Dupire formula to the case of general stochastic drift and/or the case of general stochastic local volatility. First, we handle the case in which the drift is given a... more
Authors Orcan Ögetbil, Bernhard Hientzsch
Institution Wells Fargo (United States)
Cites: 11
Cited by: 3
Related to: 10
FWCI: 1.472
Citation percentile (by year/subfield): 83.99
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Partnerships for the goals
Open Access status: green