Note on multidimensional Breeden-Litzenberger representation for state price densities
Probability
2014-12-08 v2 Pricing of Securities
Abstract
In this note, we consider European options of type 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.
Keywords
Cite
@article{arxiv.1305.5963,
title = {Note on multidimensional Breeden-Litzenberger representation for state price densities},
author = {Jarno Talponen and Lauri Viitasaari},
journal= {arXiv preprint arXiv:1305.5963},
year = {2014}
}