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摘要
In this note, we consider European options of type h(X-T(1), X-T(2),..., X-T(n)) depending on several underlying assets. We give a multidimensional version of the result of Breeden and Litzenberger (J Bus 51:621-651, 1978) 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.
- 出版日期2014-3
