The legacy of Dupire

Comments

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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net 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: