48 citations · 130 across the 22 of their papers we have counts for
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q-fin.PR2013
How to make Dupire's local volatility work with jumps
Peter K. Friz, Stefan Gerhold, Marc Yor
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 w…
q-fin.PR2011★ 3 cited
Don't stay local - extrapolation analytics for Dupire's local volatility
Peter Friz, Stefan Gerhold
A robust implementation of a Dupire type local volatility model is an important issue for every option trading floor. Typically, this (inverse) problem is solved in a two step proc…