Note on multidimensional Breeden–Litzenberger representation for state price densities

Mathematics and Financial Economics - Tập 8 Số 2 - Trang 153-157 - 2014
Jarno Talponen1, Lauri Viitasaari2
1Department of Physics and Mathematics, University of Eastern Finland, P.O. Box 111, 80101, Joensuu, Finland
2Department of Mathematics and System Analysis, Aalto University, P.O. Box 11100, 00076 , Aalto, Finland

Tóm tắt

Từ khóa


Tài liệu tham khảo

Bick, A.: Comments on the valuation of derivative assets. J. Financ. Econ. 10, 331–345 (1982)

Breeden, D.T., Litzenberger, R.H.: Prices of state-contingent claims implicit in option prices. J. Bus. 51, 621–651 (1978)

Brown, D.J., Ross, S.A.: Spanning, valuation and options. Econ. Theory 1, 3–12 (1991)

Carr, P., Picron, J.: Static hedging of timing risk. J. Deriv. 3, 57–70 (1999)

Carr, P., Laurence, P.: Multi-asset local stochastic variance. Math. Financ. 21, 21–52 (2010)

Di Nunno, G., Oksendal, B.: Advanced Mathematical Methods in Finance. Springer, Berlin (2011)

Fengler, M.: Semiparametric modeling of Implied Volatility. Springer, Berlin (2005)

Jeanblanc, M., Yor, M., Chesney, M.: Mathematical Methods for Financial Markets. Springer Finance Textbooks, London (2009)