کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4619906 1339449 2009 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Towards a generalization of Dupire's equation for several assets
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز ریاضی
پیش نمایش صفحه اول مقاله
Towards a generalization of Dupire's equation for several assets
چکیده انگلیسی

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Analysis and Applications - Volume 355, Issue 1, 1 July 2009, Pages 170-179