A Simple Solution to the Multi-dimensionality in Option Pricing
5 Pages Posted: 19 Feb 2021 Last revised: 23 Mar 2021
Date Written: February 18, 2021
We devise a method to circumvent the complexity that arises from the option multi-dimensionality. That is, we transform the model to make it as simple as the one-dimensional case. Furthermore, the assumption of comonotonicity and other assumptions regarding the structure of the underlying asset become needless.
Keywords: Multi-asset option, comonotonicity
JEL Classification: G0, C0
Suggested Citation: Suggested Citation