On a property of multidimensional normal distributions and its application to the computation of options
type: Item
instance of: scholarly article
title: On a property of multidimensional normal distributions and its application to the computation of options
zbMATH Open document ID: 1158.62041
DOI: 10.1134/S1064562407030052
author: Yu. V. Romanyuk
author: Alexander Melnikov
published in: Doklady Mathematics
publication date: 2009-01-19T00:00:00Z
review text: 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.
reviewed by: Pavel Stoynov
Mathematics Subject Classification ID: 62H05
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 5493420
zbMATH Keywords: multidimensional normal distribution
zbMATH Keywords: financial market
zbMATH Keywords: hedging
MaRDI profile type: Publication
full work available at URL: s1064562407030052
OpenAlex ID: W2087295105
description: scientific article; zbMATH DE number 5493420