A ℂ0,1-functional Itô’s formula and its applications in mathematical finance
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Modeling and Simulation,Statistics and Probability
Reference37 articles.
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1. Characteristics and Itô's formula for weak Dirichlet processes: an equivalence result;Stochastics;2024-09-12
2. A $$C^1$$-Itô’s Formula for Flows of Semimartingale Distributions;Applied Mathematics & Optimization;2024-07-27
3. Weak Dirichlet processes and generalized martingale problems;Stochastic Processes and their Applications;2024-04
4. Approximate viscosity solutions of path-dependent PDEs and Dupire’s vertical differentiability;The Annals of Applied Probability;2023-12-01
5. Robustness of Delta Hedging in a Jump-Diffusion Model;SIAM Journal on Financial Mathematics;2023-06-05
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