Note on multidimensional Breeden-Litzenberger representation for state price densities

Jarno Talponen, Lauri Viitasaari

Research output: Contribution to journalArticleScientificpeer-review

Original languageEnglish
Pages (from-to)153-157
JournalMATHEMATICS AND FINANCIAL ECONOMICS
Volume8
Issue number2
DOIs
Publication statusPublished - 2014
MoE publication typeA1 Journal article-refereed

Keywords

  • Basket options
  • Breeden–Litzenberger representation
  • Option valuation
  • Options of multidimensional assets
  • State price densities, Rainbow options

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