A Simple Solution to the Multi-Dimensionality in Option Pricing
5 Pages Posted: 29 Jun 2021
Date Written: June 17, 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: G00
Suggested Citation: Suggested Citation