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.

Anexos:

• anz2005preprint.pdf