A Simple Solution to the Multi-dimensionality in Option Pricing

5 Pages Posted: 19 Feb 2021 Last revised: 23 Mar 2021

See all articles by Moawia Alghalith

Moawia Alghalith

University of the West Indies (UWI)

Date Written: February 18, 2021

Abstract

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

Alghalith, Moawia, A Simple Solution to the Multi-dimensionality in Option Pricing (February 18, 2021). Available at SSRN: https://ssrn.com/abstract=3788240 or http://dx.doi.org/10.2139/ssrn.3788240

Moawia Alghalith (Contact Author)

University of the West Indies (UWI) ( email )

Trinidad and Tobago

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