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User:Lehalle/Notebook

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I've got a french notebook too.

Wiki tricks

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My mathematical notes

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Diffusion with a jump volatility

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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 ?