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:	Artículo publishedVersion
Lenguaje:	Inglés
Publicado:	2009
Acceso en línea:	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

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spelling	paperaa:paper_0022247X_v355_n1_p170_Amster2023-06-12T16:44:10Z Towards a generalization of Dupire's equation for several assets J. Math. Anal. Appl. 2009;355(1):170-179 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. 2009 info:eu-repo/semantics/article info:ar-repo/semantics/artículo info:eu-repo/semantics/publishedVersion application/pdf eng 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)
language	Inglés
orig_language_str_mv	eng
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	Artículo Artículo publishedVersion
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
publishDate	2009
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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Towards a generalization of Dupire's equation for several assets

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