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How to make Dupire's local volatility work with jumps
| dc.contributor.author | Friz, Peter K. | |
| dc.contributor.author | Gerhold, Stefan | |
| dc.contributor.author | Yor, Marc | |
| dc.date.accessioned | 2016-06-25T05:45:14Z | |
| dc.date.available | 2019-06-28T08:20:21Z | |
| dc.date.issued | 2013 | |
| dc.description.abstract | There are several (mathematical) reasons why Dupire's formula fails in the non-diffusion setting. And yet, in practice, ad-hoc preconditioning of the option data works reasonably well. In this note we attempt to explain why. In particular, we propose a regularization procedure of the option data so that Dupire's local vol diffusion process recreates the correct option prices, even in manifest presence of jumps. | eng |
| dc.description.version | publishedVersion | eng |
| dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/3248 | |
| dc.language.iso | eng | eng |
| dc.publisher | Cambridge : arXiv | eng |
| dc.relation.uri | http://arxiv.org/abs/1302.5548 | |
| dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
| dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
| dc.subject.ddc | 510 | eng |
| dc.subject.other | Pricing of Securities | eng |
| dc.title | How to make Dupire's local volatility work with jumps | eng |
| dc.type | Report | eng |
| dc.type | Text | eng |
| tib.accessRights | openAccess | eng |
| wgl.contributor | WIAS | eng |
| wgl.subject | Mathematik | eng |
| wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |