Option pricing on multiple assets

DOI10.1007/S10440-006-9069-7MaRDI QIDQ852003zbMATHOpenAlexFDO

Authors Thomas Branson, Yang Ho Choi

Publication date 27 November 2006

Published in Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10440-006-9069-7

zbMATH Keywords

heat kernel asymptoticsOption pricingcurvature arbitragemultiple assets

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• scientific article; zbMATH DE number 6452941
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Cites work

• scientific article; zbMATH DE number 3984181 (Why is no real title available?)
• scientific article; zbMATH DE number 52737 (Why is no real title available?)
• scientific article; zbMATH DE number 3289746 (Why is no real title available?)
• A Course in Financial Calculus
• CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS
• Introduction to stochastic integration.
• Some Properties of the Eigenfunctions of The Laplace-Operator on Riemannian Manifolds
• The Mathematics of Financial Derivatives
• The Valuation of American Options on Multiple Assets

Cited in

(9)

• scientific article; zbMATH DE number 5283783 (Why is no real title available?)
• scientific article; zbMATH DE number 6452941 (Why is no real title available?)
• Operator trigonometry of multivariate finance
• Fourier inversion formulas for multiple-asset option pricing
• Option valuation with co-integrated asset prices
• Multi-asset Black-Scholes model as a variable second class constrained dynamical system
• Multi-asset American options and parallel quantization
• The Black–Scholes equation in the presence of arbitrage
• Derivation of multi-asset Black-Scholes differential equations

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