On a property of multidimensional normal distributions and its application to the computation of options (Q960734)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On a property of multidimensional normal distributions and its application to the computation of options |
scientific article; zbMATH DE number 5493420
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On a property of multidimensional normal distributions and its application to the computation of options |
scientific article; zbMATH DE number 5493420 |
Statements
On a property of multidimensional normal distributions and its application to the computation of options (English)
0 references
19 January 2009
0 references
The paper presents two theorems related to a property of multidimensional normal distributions. The results can be applied to financial markets for hedging in the case when risky assets are driven by Wiener processes.
0 references
multidimensional normal distribution
0 references
financial market
0 references
hedging
0 references
