The Extension of the Formula by Dupire
- Shunsuke Kaji kaji@math.sci.osaka-u.ac.jp
Downloads
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
Downloads
Download data is not yet available.
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
Section
Articles