The Dupire derivatives and Fr\'echet derivatives on continuous pathes
Probability
2013-01-25 v1
Abstract
In this paper, we study the relation between Fr\'echet derivatives and Dupire derivatives, in which the latter are recently introduced by Dupire [4]. After introducing the definition of Fr\'echet derivatives for non-anticipative functionals, we prove that the Dupire derivatives and the extended Fr\'echet derivatives are coherent on continuous pathes.
Cite
@article{arxiv.1301.5691,
title = {The Dupire derivatives and Fr\'echet derivatives on continuous pathes},
author = {Shaolin Ji and Shuzhen Yang},
journal= {arXiv preprint arXiv:1301.5691},
year = {2013}
}
Comments
arXiv admin note: text overlap with arXiv:1108.4317 by other authors