Towards a generalization of Dupire's equation for several assets

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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...

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Autores principales: Amster, P., De Nápoli, P., Zubelli, J.P.
Formato: JOUR
Acceso en línea:http://hdl.handle.net/20.500.12110/paper_0022247X_v355_n1_p170_Amster
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Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires
id todo:paper_0022247X_v355_n1_p170_Amster
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spelling todo:paper_0022247X_v355_n1_p170_Amster2023-10-03T14:29:14Z Towards a generalization of Dupire's equation for several assets Amster, P. De Nápoli, P. Zubelli, J.P. 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. JOUR info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar 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.
format JOUR
author Amster, P.
De Nápoli, P.
Zubelli, J.P.
spellingShingle Amster, P.
De Nápoli, P.
Zubelli, J.P.
Towards a generalization of Dupire's equation for several assets
author_facet Amster, P.
De Nápoli, P.
Zubelli, J.P.
author_sort Amster, P.
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
url http://hdl.handle.net/20.500.12110/paper_0022247X_v355_n1_p170_Amster
work_keys_str_mv AT amsterp towardsageneralizationofdupiresequationforseveralassets
AT denapolip towardsageneralizationofdupiresequationforseveralassets
AT zubellijp towardsageneralizationofdupiresequationforseveralassets
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