I am looking for need the martingale part of the put payoff (therefore not $C^2$). C^2$..). Where $S_t=exp(\sigma W_t -\frac{\sigma^2t}{2})$
$d[(S_t -K)^+ ]$ ??
I guess I need to use local times but how?
Thank you for your help!
|
2 | deleted 41 characters in body; edited title | ||
Martingale part of the discontinuous put payoff |
||||
|
|
1 |
|
||
Martingale part of put payoffI am looking for the martingale part of the put payoff (therefore not $C^2$). Where $S_t=exp(\sigma W_t -\frac{\sigma^2t}{2})$ $d[(S_t -K)^+ ]$ ?? I guess I need to use local times but how? Thank you for your help!
|
||||
