| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4619906 | Journal of Mathematical Analysis and Applications | 2009 | 10 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
