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Dupire's formula

amir

amir

Joined
11/11/09
Messages
52
Points
18
hey!
I'm deriving Dupire's eq for european put option using put-call parity. In the Dupires eq for the call option we have the term dC/dt. So, utilizing put-call parity, I have to derive
d/dt ( S + P - K * exp{-r (T-t) } )
any help!
:)
 
Yes it's general derivation. I'll search for articles when I get home.
 

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