info:eu-repo/semantics/article
Towards a generalization of Dupire's equation for several assets
Fecha
2009-07Registro en:
Amster, Pablo Gustavo; de Napoli, Pablo Luis; Zubelli, J. P.; Towards a generalization of Dupire's equation for several assets; Academic Press Inc Elsevier Science; Journal of Mathematical Analysis and Applications; 355; 1; 7-2009; 170-179
0022-247X
CONICET Digital
CONICET
Autor
Amster, Pablo Gustavo
de Napoli, Pablo Luis
Zubelli, J. P.
Resumen
We pose the problem of generalizing Dupire’s equation for the price of call options on a basket of underlying assets. We present an analogue of Dupire’s equation that holds in the case of several underlying assets provided the volatility is time dependent but not assetprice dependent. We deduce it from a relation that seems to be of interest on its own.