On a property of multidimensional normal distributions and its application to the computation of options (Q960734)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On a property of multidimensional normal distributions and its application to the computation of options |
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On a property of multidimensional normal distributions and its application to the computation of options (English)
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19 January 2009
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The paper presents two theorems related to a property of multidimensional normal distributions. The results can be applied to financial markets for hedging in the case when risky assets are driven by Wiener processes.
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multidimensional normal distribution
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financial market
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hedging
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