Static Replication of European Multi-Asset Options with Homogeneous Payoff

DOI10.1080/1350486X.2022.2085122zbMath1498.91429OpenAlexW4283311896MaRDI QIDQ5103915

Sébastien Bossu

Publication date: 9 September 2022

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2022.2085122

zbMATH Keywords

Radon transformoption replicationbest-of multi-assetBreeden-Litzenberger

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Mathematics of Computerized Tomography
• MULTI-ASSET STOCHASTIC LOCAL VARIANCE CONTRACTS
• Static replication of European standard dispersion options
• A new representation of the risk-neutral distribution and its applications
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