Note on multidimensional Breeden-Litzenberger representation for state price densities (Q2452152): Difference between revisions
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| Property / cites work: Spanning, valuation and options / rank | |||
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| Property / cites work: MULTI-ASSET STOCHASTIC LOCAL VARIANCE CONTRACTS / rank | |||
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| Property / cites work: Semiparametric modeling of implied volatility. / rank | |||
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Latest revision as of 13:10, 8 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Note on multidimensional Breeden-Litzenberger representation for state price densities |
scientific article |
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Note on multidimensional Breeden-Litzenberger representation for state price densities (English)
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30 May 2014
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option valuation
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options of multidimensional assets
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state price densities
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rainbow options
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basket options
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Breeden-Litzenberger representation
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