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Note on multidimensional Breeden-Litzenberger representation for state price densities

In this note, we consider European options of type $h(X^1_T, X^2_T,\ldots, X^n_T)$ depending on several underlying assets. We give a multidimensional version of the result of Breeden and Litzenberger \cite{Breeden} on the relation between derivatives of the call price and the risk-neutral density of the underlying asset. The pricing measure is assumed to be absolutely continuous with respect to the Lebesgue measure on the state space.
Year of publication:
2013-05
Authors: Talponen, Jarno ; Viitasaari, Lauri
Institutions: arXiv.org
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application/pdf
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Type of publication: Book / Working Paper
Notes:
Published in Mathematics and Financial Economics 8:153-157, 2014
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Persistent link: https://www.econbiz.de/10011095719
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