학술
기타
Ito-Wentzell Formula and Dupire Stochastic PDE
arXiv Math
CC BY
이 매체는 공공·자유 라이선스로 본문을 직접 표시합니다.Abstract
Starting from the classic result of Wentzell, we derive a conditional forward equation and an associated stochastic Dupire PDE for a local-stochastic-volatility model (LSV).
As an application, we obtain a density-weighted Rao--Blackwell estimator for the leverage function in LSV.
We also derive an SPDE for a rolling expiry vanilla option, in the spirit of the Musiela parametrization in interest rate modeling.
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