The legacy of Dupire


The story is well known. Traditional Black-Scholes theory takes as its dependent variable the price of an option of fixed strike and maturity, and leads to a partial differential equation where the independent variables are the underlying asset price and time. Searching for a deterministic volatility process that fitted observed market smiles, Dupire discovered a new equation for the option price – the Dupire equation – with strike and maturity as independent variables, and with time and asset

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here