A C{0,1}-functional Ito formula and its applications in finance.

Speaker: Xiaolu Tan from Chinese University of Hong Kong Date and Time: 9/10/2020 at 9:00 AM Zoom:  992 7853 8762 Abstract:  We obtain a functional (path-dependent) extension of the Ito formula for C{0,1}-functions in Bandini and Russo (2017). We then provide some original applications in finance of this new formula, by considering an option replication […]