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arXiv · 1301.5691

The Dupire derivatives and Fréchet derivatives on continuous pathes

Shaolin Ji·Shuzhen Yang
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Abstract

In this paper, we study the relation between Fréchet derivatives and Dupire derivatives, in which the latter are recently introduced by Dupire [4]. After introducing the definition of Fréchet derivatives for non-anticipative functionals, we prove that the Dupire derivatives and the extended Fréchet derivatives are coherent on continuous pathes.

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Shaolin Ji, Shuzhen Yang. 2013-01-24. The Dupire derivatives and Fréchet derivatives on continuous pathes. https://arxiv.org/abs/1301.5691

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