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.
@article{1499,
title = {The Extension of the Formula by Dupire},
journal = {CUBO, A Mathematical Journal},
volume = {10},
year = {2008},
language = {en},
url = {http://dml.mathdoc.fr/item/1499}
}
Kaji, Shunsuke. The Extension of the Formula by Dupire. CUBO, A Mathematical Journal, Tome 10 (2008) . http://gdmltest.u-ga.fr/item/1499/