Bruno Dupire

Bloomberg L.P.

731 Lexington Avenue

New York, NY 10022

United States

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Functional Itô Calculus

Bloomberg Portfolio Research Paper No. 2009-04-FRONTIERS
Number of pages: 25 Posted: 25 Jul 2009 Last Revised: 28 Aug 2009
Bruno Dupire
Bloomberg L.P.
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Abstract:

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Itô calculus, path dependent options, functionals