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A C^{0,1} -functional Itô’s formula and its applications in mathematical finance

hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorBouchard, Bruno
dc.contributor.authorLoeper, Grégoire
hal.structure.identifierDepartment of Mathematics [CUHK]
dc.contributor.authorTan, Xiaolu
dc.date.accessioned2021-09-06T08:58:29Z
dc.date.available2021-09-06T08:58:29Z
dc.date.issued2021
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/21733
dc.language.isoenen
dc.subjectItô's formulaen
dc.subjectmathematical financeen
dc.subject.ddc519en
dc.titleA C^{0,1} -functional Itô’s formula and its applications in mathematical financeen
dc.typeDocument de travail / Working paper
dc.description.abstractenUsing Dupire’s notion of vertical derivative, we provide a functional (path-dependent) extension of the Itô’s formula of Gozzi and Russo (2006) that applies to C{0,1}-functions of continuous weak Dirichlet processes. It is motivated and illustrated by its applications to the hedging or superhedging problems of path-dependent options in mathematical finance, in particular in the case of model uncertainty.en
dc.identifier.citationpages24en
dc.relation.ispartofseriestitleCahier de recherche CEREMADEen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-03105342en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenon
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2021-09-06T08:44:36Z
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