Matches in SemOpenAlex for { <https://semopenalex.org/work/W4376617576> ?p ?o ?g. }
Showing items 1 to 86 of
86
with 100 items per page.
- W4376617576 endingPage "474" @default.
- W4376617576 startingPage "452" @default.
- W4376617576 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 as a difference of two stochastic short rates. Such a setting is natural in a foreign exchange context where the short rates correspond to the short rates of the two currencies, in an equity single-currency context with stochastic dividend yield, or in a commodity context with stochastic convenience yield. We present the formula in both a call surface formulation and a total implied variance formulation where the latter avoids calendar spread arbitrage by construction. We provide derivations for the case where both short rates are given as single factor processes, and we present limits for a single stochastic rate or all deterministic short rates. The limits agree with published results. Then we derive a formulation that allows a more general stochastic drift and diffusion, including one or more stochastic local volatility terms. In the general setting, our derivation allows for the computation and cali ration of the leverage function for stochastic local volatility models. Despite being implicit, the generalized Dupire formula can be used numerically in a fixed-point iterative scheme." @default.
- W4376617576 created "2023-05-17" @default.
- W4376617576 creator A5020630392 @default.
- W4376617576 creator A5031227483 @default.
- W4376617576 date "2023-05-12" @default.
- W4376617576 modified "2023-10-18" @default.
- W4376617576 title "Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility" @default.
- W4376617576 cites W104454400 @default.
- W4376617576 cites W2023403063 @default.
- W4376617576 cites W2119074269 @default.
- W4376617576 cites W2496446004 @default.
- W4376617576 cites W3021444882 @default.
- W4376617576 cites W3100330580 @default.
- W4376617576 cites W3123039091 @default.
- W4376617576 cites W3124062437 @default.
- W4376617576 cites W3125979901 @default.
- W4376617576 cites W3126103175 @default.
- W4376617576 doi "https://doi.org/10.1137/21m1390906" @default.
- W4376617576 hasPublicationYear "2023" @default.
- W4376617576 type Work @default.
- W4376617576 citedByCount "0" @default.
- W4376617576 crossrefType "journal-article" @default.
- W4376617576 hasAuthorship W4376617576A5020630392 @default.
- W4376617576 hasAuthorship W4376617576A5031227483 @default.
- W4376617576 hasBestOaLocation W43766175762 @default.
- W4376617576 hasConcept C10138342 @default.
- W4376617576 hasConcept C105795698 @default.
- W4376617576 hasConcept C126255220 @default.
- W4376617576 hasConcept C149782125 @default.
- W4376617576 hasConcept C151730666 @default.
- W4376617576 hasConcept C153083717 @default.
- W4376617576 hasConcept C162324750 @default.
- W4376617576 hasConcept C175025494 @default.
- W4376617576 hasConcept C176230804 @default.
- W4376617576 hasConcept C181236170 @default.
- W4376617576 hasConcept C24189920 @default.
- W4376617576 hasConcept C2779343474 @default.
- W4376617576 hasConcept C2779834249 @default.
- W4376617576 hasConcept C28826006 @default.
- W4376617576 hasConcept C33175817 @default.
- W4376617576 hasConcept C33923547 @default.
- W4376617576 hasConcept C54775282 @default.
- W4376617576 hasConcept C85393063 @default.
- W4376617576 hasConcept C86803240 @default.
- W4376617576 hasConcept C91602232 @default.
- W4376617576 hasConceptScore W4376617576C10138342 @default.
- W4376617576 hasConceptScore W4376617576C105795698 @default.
- W4376617576 hasConceptScore W4376617576C126255220 @default.
- W4376617576 hasConceptScore W4376617576C149782125 @default.
- W4376617576 hasConceptScore W4376617576C151730666 @default.
- W4376617576 hasConceptScore W4376617576C153083717 @default.
- W4376617576 hasConceptScore W4376617576C162324750 @default.
- W4376617576 hasConceptScore W4376617576C175025494 @default.
- W4376617576 hasConceptScore W4376617576C176230804 @default.
- W4376617576 hasConceptScore W4376617576C181236170 @default.
- W4376617576 hasConceptScore W4376617576C24189920 @default.
- W4376617576 hasConceptScore W4376617576C2779343474 @default.
- W4376617576 hasConceptScore W4376617576C2779834249 @default.
- W4376617576 hasConceptScore W4376617576C28826006 @default.
- W4376617576 hasConceptScore W4376617576C33175817 @default.
- W4376617576 hasConceptScore W4376617576C33923547 @default.
- W4376617576 hasConceptScore W4376617576C54775282 @default.
- W4376617576 hasConceptScore W4376617576C85393063 @default.
- W4376617576 hasConceptScore W4376617576C86803240 @default.
- W4376617576 hasConceptScore W4376617576C91602232 @default.
- W4376617576 hasIssue "2" @default.
- W4376617576 hasLocation W43766175761 @default.
- W4376617576 hasLocation W43766175762 @default.
- W4376617576 hasOpenAccess W4376617576 @default.
- W4376617576 hasPrimaryLocation W43766175761 @default.
- W4376617576 hasRelatedWork W1966453996 @default.
- W4376617576 hasRelatedWork W2161484205 @default.
- W4376617576 hasRelatedWork W2762454022 @default.
- W4376617576 hasRelatedWork W3024578200 @default.
- W4376617576 hasRelatedWork W3046357205 @default.
- W4376617576 hasRelatedWork W3198549451 @default.
- W4376617576 hasRelatedWork W3207029408 @default.
- W4376617576 hasRelatedWork W4287779353 @default.
- W4376617576 hasRelatedWork W4366320166 @default.
- W4376617576 hasRelatedWork W2102168794 @default.
- W4376617576 hasVolume "14" @default.
- W4376617576 isParatext "false" @default.
- W4376617576 isRetracted "false" @default.
- W4376617576 workType "article" @default.