Artículo

Towards a generalization of Dupire's equation for several assets

Amster, Pablo GustavoIcon ; de Napoli, Pablo LuisIcon ; Zubelli, J. P.
Fecha de publicación: 07/2009
Editorial: Academic Press Inc Elsevier Science
Revista: Journal of Mathematical Analysis and Applications
ISSN: 0022-247X
Idioma: Inglés
Tipo de recurso: Artículo publicado
Clasificación temática:

Resumen

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 assetprice dependent. We deduce it from a relation that seems to be of interest on its own.
Palabras clave: DUPIRE'S EQUATION , MULTI-ASSET MODEL
 
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info:eu-repo/semantics/openAccess Excepto donde se diga explícitamente, este item se publica bajo la siguiente descripción: Creative Commons Attribution-NonCommercial-ShareAlike 2.5 Unported (CC BY-NC-SA 2.5)
Identificadores
URI: http://hdl.handle.net/11336/155882
DOI: http://dx.doi.org/10.1016/j.jmaa.2009.01.050
URL: https://www.sciencedirect.com/science/article/pii/S0022247X09000900
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Articulos(IMAS)
Articulos de INSTITUTO DE INVESTIGACIONES MATEMATICAS "LUIS A. SANTALO"
Citación
Amster, 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
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