Towards a generalization of Dupire's equation for several assets

dc.creatorAmster, Pablo Gustavo
dc.creatorde Napoli, Pablo Luis
dc.creatorZubelli, J. P.
dc.date.accessioned2022-04-27T16:11:40Z
dc.date.accessioned2022-10-15T14:32:14Z
dc.date.available2022-04-27T16:11:40Z
dc.date.available2022-10-15T14:32:14Z
dc.date.created2022-04-27T16:11:40Z
dc.date.issued2009-07
dc.identifierAmster, 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
dc.identifier0022-247X
dc.identifierhttp://hdl.handle.net/11336/155882
dc.identifierCONICET Digital
dc.identifierCONICET
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/4397210
dc.description.abstractWe 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.
dc.languageeng
dc.publisherAcademic Press Inc Elsevier Science
dc.relationinfo:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1016/j.jmaa.2009.01.050
dc.relationinfo:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/pii/S0022247X09000900
dc.rightshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.rightsinfo:eu-repo/semantics/restrictedAccess
dc.subjectDUPIRE'S EQUATION
dc.subjectMULTI-ASSET MODEL
dc.titleTowards a generalization of Dupire's equation for several assets
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:ar-repo/semantics/artículo
dc.typeinfo:eu-repo/semantics/publishedVersion


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