User:Lehalle/Notebook
I've got a french notebook too.
Wiki tricks[edit]
My mathematical notes[edit]
Diffusion with a jump volatility[edit]
differentiating a portfolio (when the volatility is ), we obtain:
The term capture the possible jump of volatility (which has no direct instantaneous impact on , but has on , because it could turn it into ). this term can only be captured in expectation, and because , we obtain the desired Black Scholes equations ?