Towards a generalization of Dupire's equation for several assets

Autores
Amster, P.; De Nápoli, P.; Zubelli, J.P.
Año de publicación
2009
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
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.
Fuente
J. Math. Anal. Appl. 2009;355(1):170-179
Nivel de accesibilidad
acceso abierto
Condiciones de uso
http://creativecommons.org/licenses/by/2.5/ar
Repositorio
Biblioteca Digital (UBA-FCEN)
Institución
Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturales
OAI Identificador
paperaa:paper_0022247X_v355_n1_p170_Amster
Acceder
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network_name_str Biblioteca Digital (UBA-FCEN)
spelling Towards a generalization of Dupire's equation for several assetsAmster, 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.2009info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfhttp://hdl.handle.net/20.500.12110/paper_0022247X_v355_n1_p170_AmsterJ. Math. Anal. Appl. 2009;355(1):170-179reponame:Biblioteca Digital (UBA-FCEN)instname:Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturalesinstacron:UBA-FCENenginfo:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by/2.5/ar2025-11-06T09:39:47Zpaperaa:paper_0022247X_v355_n1_p170_AmsterInstitucionalhttps://digital.bl.fcen.uba.ar/Universidad públicaNo correspondehttps://digital.bl.fcen.uba.ar/cgi-bin/oaiserver.cgiana@bl.fcen.uba.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:18962025-11-06 09:39:48.724Biblioteca Digital (UBA-FCEN) - Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturalesfalse
dc.title.none.fl_str_mv Towards a generalization of Dupire's equation for several assets
title Towards a generalization of Dupire's equation for several assets
spellingShingle Towards a generalization of Dupire's equation for several assets
Amster, P.
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
dc.creator.none.fl_str_mv Amster, P.
De Nápoli, P.
Zubelli, J.P.
author Amster, P.
author_facet Amster, P.
De Nápoli, P.
Zubelli, J.P.
author_role author
author2 De Nápoli, P.
Zubelli, J.P.
author2_role author
author
dc.description.none.fl_txt_mv 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.
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.
publishDate 2009
dc.date.none.fl_str_mv 2009
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/20.500.12110/paper_0022247X_v355_n1_p170_Amster
url http://hdl.handle.net/20.500.12110/paper_0022247X_v355_n1_p170_Amster
dc.language.none.fl_str_mv eng
language eng
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
http://creativecommons.org/licenses/by/2.5/ar
eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by/2.5/ar
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv J. Math. Anal. Appl. 2009;355(1):170-179
reponame:Biblioteca Digital (UBA-FCEN)
instname:Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturales
instacron:UBA-FCEN
reponame_str Biblioteca Digital (UBA-FCEN)
collection Biblioteca Digital (UBA-FCEN)
instname_str Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturales
instacron_str UBA-FCEN
institution UBA-FCEN
repository.name.fl_str_mv Biblioteca Digital (UBA-FCEN) - Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturales
repository.mail.fl_str_mv ana@bl.fcen.uba.ar
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score 13.087074

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