Multi-asset stochastic local variance contracts
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Cites work
- Elliptic Partial Differential Equations of Second Order
- scientific article; zbMATH DE number 3720745 (Why is no real title available?)
- scientific article; zbMATH DE number 54029 (Why is no real title available?)
- scientific article; zbMATH DE number 3893753 (Why is no real title available?)
- Mathematical methods for foreign exchange. A financial engineer's approach
- Multidimensional diffusion processes.
- ON CONTINUOUS MARTINGALES
- On Itô's formula for multidimensional Brownian motion
- On the Decomposition of Continuous Submartingales
- Option price when the stock is a semimartingale
- The Radon transform
Cited in
(8)- Note on multidimensional Breeden-Litzenberger representation for state price densities
- Hedging (co)variance risk with variance swaps
- Exchangeability-type properties of asset prices
- Multiasset derivatives and joint distributions of asset prices
- Static replication of European standard dispersion options
- Static replication of European multi-asset options with homogeneous payoff
- Spanning multi-asset payoffs with ReLUs
- Measuring exposure to dependence risk with random Bernstein copula scenarios
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