I checked Travelocity and found a flight for $524 (one way).
Check with Air India: http://www.airindia.com/
or Air Kenya: http://www.airkenya.biz/index.asp
Here is the itinerary for a one-way flight on Air India and Air Kenya:
Flight: Air India Ltd. flight 747 on a Airbus Jet - non-stop
Depart: New Delhi, India (DEL) - Mon, Jun 05 at 8:55pm
Arrive: Dubai, United Arab Emirates (DXB) - Mon, Jun 05 at 10:45pm
Meals: Meal Served
Flight: Kenya Airways flight 311 on a Boeing 767 Jet - non-stop
Depart: Dubai, United Arab Emirates (DXB) - Tue, Jun 06 at 2:35am
Arrive: Nairobi, Kenya (NBO) - Tue, Jun 06 at 6:40am
Meals: No Meal Served
Flight: Kenya Airways flight 424 on a Boeing 767 Jet - non-stop
Depart: Nairobi, Kenya (NBO) - Tue, Jun 06 at 8:20am
Arrive: Lusaka, Zambia (LUN) - Tue, Jun 06 at 10:00am
Meals: No Meal Served