Towards a generalization of Dupire's equation for several assets

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 asset-price dependent. We...

Descripción completa

Guardado en:
Detalles Bibliográficos
Autores principales: Amster, Pablo Gustavo, De Napoli, Pablo Luis
Publicado: 2009
Acceso en línea:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_0022247X_v355_n1_p170_Amster
http://hdl.handle.net/20.500.12110/paper_0022247X_v355_n1_p170_Amster
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires
id paper:paper_0022247X_v355_n1_p170_Amster
record_format dspace
spelling paper:paper_0022247X_v355_n1_p170_Amster2023-06-08T14:47:53Z Towards a generalization of Dupire's equation for several assets Amster, Pablo Gustavo De Napoli, Pablo Luis 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 asset-price dependent. We deduce it from a relation that seems to be of interest on its own. © 2009 Elsevier Inc. All rights reserved. Fil:Amster, P. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. Fil:De Nápoli, P. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. 2009 https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_0022247X_v355_n1_p170_Amster http://hdl.handle.net/20.500.12110/paper_0022247X_v355_n1_p170_Amster
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-134
collection Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA)
description 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 asset-price dependent. We deduce it from a relation that seems to be of interest on its own. © 2009 Elsevier Inc. All rights reserved.
author Amster, Pablo Gustavo
De Napoli, Pablo Luis
spellingShingle Amster, Pablo Gustavo
De Napoli, Pablo Luis
Towards a generalization of Dupire's equation for several assets
author_facet Amster, Pablo Gustavo
De Napoli, Pablo Luis
author_sort Amster, Pablo Gustavo
title Towards a generalization of Dupire's equation for several assets
title_short Towards a generalization of Dupire's equation for several assets
title_full Towards a generalization of Dupire's equation for several assets
title_fullStr Towards a generalization of Dupire's equation for several assets
title_full_unstemmed Towards a generalization of Dupire's equation for several assets
title_sort towards a generalization of dupire's equation for several assets
publishDate 2009
url https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_0022247X_v355_n1_p170_Amster
http://hdl.handle.net/20.500.12110/paper_0022247X_v355_n1_p170_Amster
work_keys_str_mv AT amsterpablogustavo towardsageneralizationofdupiresequationforseveralassets
AT denapolipabloluis towardsageneralizationofdupiresequationforseveralassets
_version_ 1768545270522445824

Ejemplares similares