The Extension of the Formula by Dupire
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Shunsuke Kaji
kaji@math.sci.osaka-u.ac.jp
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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.
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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.
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