Details

Autor(en) / Beteiligte

• Amster, P.
• De Nápoli, P.
• Zubelli, J.P.

Titel

Towards a generalization of Dupire's equation for several assets

Ist Teil von

• Journal of mathematical analysis and applications, 2009-07, Vol.355 (1), p.170-179

Ort / Verlag

Amsterdam: Elsevier Inc

Erscheinungsjahr

2009

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• 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.