The Extension of the Formula by Dupire

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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.

Keywords

Dupire , PDE , Jump-diffusion model
  • Shunsuke Kaji Department of Mathematics, Graduate School of Science, Osaka University, Machikaneyamachou 1-1, Toyonaka - Osaka , Japan.
  • Pages: 57–64
  • Date Published: 2008-10-01
  • Vol. 10 No. 3 (2008): CUBO, A Mathematical Journal

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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.

Issue

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

Section

Articles