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Dupire, B. () Pricing with a Smile. Risk, 7, B. Dupire, “Pricing with a Smile,” Risk, Vol. 7, , pp. Pricing with a smile. In the January issue of Risk, Bruno Dupire showed how the Black-Scholes model can be extended to make it.

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Bruno Dupire

Encyclopedia of Quantitative FinanceWiley, If the model were perfect, this implied value would be the same for all option market prices, but reality shows this is not the case. Dupire is best known for showing how to derive a local volatility model consistent with a surface of smie prices across strikes supire maturities, establishing the so-called Dupire’s approach to local volatility for modeling the volatility smile.

In a continuous time framework, we bring together the notion of intrinsic risk and the theory of change of measures to derive a probability measure, namely risk-subjective measure, for evaluating contingent claims. He has also been included in Dec’ 02 in the Risk magazine “Hall of Fame” of the 50 most influential people in the history of financial derivatives.


The Heston Stochastic-local Volatility Model: Risk Magazine, Incisive Media. This paper is a modest attempt to prove that measure of intrinsic risk is a crucial ingredient for explaining these phenomena, and in consequence proposes a new approach to pricing and hedging financial derivatives.

Bruno Dupire is a researcher and lecturer in quantitative finance. Showing of extracted citations. The Pricing of Options and Corporate Liabilities.

Bruno Dupire – Wikipedia

From This Paper Figures, tables, and topics from this paper. Skip to search form Skip to main content. This page was last edited on 31 Augustat References Publications referenced by this paper. Journal of Mathematical FinanceVol. Archived copy as title All articles with dead external links Articles with dead external links from November Articles with permanently dead external links.

Archived from the original on When the Silence Speaks: We review the nature of some well-known phenomena such as volatility smiles, convexity adjustments and parallel derivative markets.

We propose that the market is incomplete and postulate the existence of intrinsic risks in every contingent claim as a basis for understanding these phenomena. Views Read Edit View history.

Pricing with a Smile

This paper has highly influenced 90 other papers. By adapting theoretical knowledge to practical applications, we show that our approach is consistent and robust, compared with the standard risk-neutral approach.


From Wikipedia, the free encyclopedia. Impacts on Pricing and Risk of Commodity Derivatives. Topics Discussed in This Paper. Citations Publications citing this paper.

Pricing with a Smile – Semantic Scholar

By using this site, you agree to the Terms of Use and Privacy Policy. MadanRobert H. Pricing exotic options using improved strong convergence Klaus E. Volatility Search for additional papers on this topic. GrzelakCornelis W.

Pricing and Hedging with Smiles. Implied Black—Scholes volatilities strongly depend on the maturity and the strike of the European option under scrutiny. Pricing and Hedging with Smlie.

Arbitrage-free market models for interest rate options and future options: If an option price is given by the market we can invert this relationship to get the implied volatility. Retrieved from ” https: Archived from the original PDF on