The Extension of the Formula by Dupire

Authors

  • Shunsuke Kaji Department of Mathematics, Graduate School of Science, Osaka University, Machikaneyamachou 1-1, Toyonaka - Osaka , Japan.

Keywords:

Dupire, PDE, Jump-diffusion model

Abstract

We provide the extension of Dupire‘s PDE, as the partial integro-differential equations of market prices of call options with many maturities and strike prices for jump diffusion model.

Downloads

Download data is not yet available.

Downloads

Published

2008-10-01

How to Cite

[1]
S. Kaji, “The Extension of the Formula by Dupire”, CUBO, vol. 10, no. 3, pp. 57–64, Oct. 2008.

Issue

Vol. 10 No. 3 (2008): CUBO, A Mathematical Journal

Section

Articles

Similar Articles

1 2 3 4 5 6 > >> 

You may also start an advanced similarity search for this article.