A solution to the multidimensionality in option pricing

DOI10.1080/03610926.2022.2137680MaRDI QIDQ6541097

Moawia Alghalith, Wing-Keung Wong

Publication date: 17 May 2024

Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Static super-replicating strategies for a class of exotic options
• Pricing of arithmetic basket options by conditioning.
• On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
• Comonotonic asset prices in arbitrage-free markets

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