Towards a generalization of Dupire's equation for several assets

DOI10.1016/j.jmaa.2009.01.050zbMath1171.91013OpenAlexW2036329190MaRDI QIDQ1018345

Pablo Amster, Jorge P. Zubelli, Pablo L. De Nápoli

Publication date: 19 May 2009

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2009.01.050

Mathematics Subject Classification ID

Related Items

Fast reconstruction of time-dependent market volatility for European options

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Parabolic differential equations with unbounded coefficients -- A generalization of the parametrix method
• Identifying the volatility of underlying assets from option prices
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
• On the nature of ill-posedness of an inverse problem arising in option pricing
• On decoupling of volatility smile and term structure in inverse option pricing
• Stochastic differential equations. An introduction with applications.

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