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- W4245465895 abstract "Abstract Under very general conditions, the cross section of European call and put prices on any underlying asset follows, as a function of strike and maturity, a partial differential equation commonly named the Dupire equation . This equation can be used to obtain price‐ and time‐dependent instantaneous volatilities, also named local volatilities , which provide a simple model consistent with all European option prices. The local variances, square of the local volatilities, can be interpreted as instantaneous forward variances conditional on a given underlying price." @default.
- W4245465895 created "2022-05-12" @default.
- W4245465895 creator A5060208733 @default.
- W4245465895 date "2010-02-26" @default.
- W4245465895 modified "2023-10-11" @default.
- W4245465895 title "Dupire Equation" @default.
- W4245465895 doi "https://doi.org/10.1002/9780470061602.eqf08003" @default.
- W4245465895 hasPublicationYear "2010" @default.
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