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Towards a generalization of Dupire's equation for several assets |
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| Authors: | P Amster P De Nápoli JP Zubelli |
| Institution: | a Departamento de Matemática, Facultad de Ciencias Exactas y Naturales, Universidad de Buenos Aires, Ciudad Universitaria, Pabellón I, Buenos Aires, Argentina b CONICET, Argentina c IMPA, Est. D. Castorina 110, Rio de Janeiro, RJ22460-320, Brazil |
| 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. |
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