Preprint A487/2006
Towards a Generalization of Dupire's Equation for Several Assets

Jorge P. Zubelli | Amster, Pablo | de Napoli, Pablo

**Keywords: **
Inverse Problems | quantitative finances | mathematical methods in finances | calibration

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 intereston its own.