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Abstract:

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.

Registro:

Documento: Artículo
Título:Towards a generalization of Dupire's equation for several assets
Autor:Amster, P.; De Nápoli, P.; Zubelli, J.P.
Filiación:Departamento de Matemática, Facultad de Ciencias Exactas y Naturales, Universidad de Buenos Aires, Pabellón I, Buenos Aires, Argentina
CONICET, Argentina
IMPA, Est. D. Castorina 110, Rio de Janeiro, RJ22460-320, Brazil
Año:2009
Volumen:355
Número:1
Página de inicio:170
Página de fin:179
DOI: http://dx.doi.org/10.1016/j.jmaa.2009.01.050
Título revista:Journal of Mathematical Analysis and Applications
Título revista abreviado:J. Math. Anal. Appl.
ISSN:0022247X
PDF:https://bibliotecadigital.exactas.uba.ar/download/paper/paper_0022247X_v355_n1_p170_Amster.pdf
Registro:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_0022247X_v355_n1_p170_Amster

Referencias:

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  • Lishang, J., Youshan, T., Identifying the volatility of underlying assets from option prices (2001) Inverse Problems, 17, pp. 137-155
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Citas:

---------- APA ----------
Amster, P., De Nápoli, P. & Zubelli, J.P. (2009) . Towards a generalization of Dupire's equation for several assets. Journal of Mathematical Analysis and Applications, 355(1), 170-179.
http://dx.doi.org/10.1016/j.jmaa.2009.01.050
---------- CHICAGO ----------
Amster, P., De Nápoli, P., Zubelli, J.P. "Towards a generalization of Dupire's equation for several assets" . Journal of Mathematical Analysis and Applications 355, no. 1 (2009) : 170-179.
http://dx.doi.org/10.1016/j.jmaa.2009.01.050
---------- MLA ----------
Amster, P., De Nápoli, P., Zubelli, J.P. "Towards a generalization of Dupire's equation for several assets" . Journal of Mathematical Analysis and Applications, vol. 355, no. 1, 2009, pp. 170-179.
http://dx.doi.org/10.1016/j.jmaa.2009.01.050
---------- VANCOUVER ----------
Amster, P., De Nápoli, P., Zubelli, J.P. Towards a generalization of Dupire's equation for several assets. J. Math. Anal. Appl. 2009;355(1):170-179.
http://dx.doi.org/10.1016/j.jmaa.2009.01.050