英文标题：
《Multidimensional Breeden-Litzenberger representation for state price
densities and static hedging》
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作者：
Jarno Talponen and Lauri Viitasaari
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最新提交年份：
2014
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英文摘要：
In this article, we consider European options of type $h(X^1_T, X^2_T,\\ldots, X^n_T)$ depending on several underlying assets. We study how such options can be valued in terms of simple vanilla options in non-specified market models. We consider different approaches related to static hedging and derive several pricing formulas for a wide class of payoff functions $h:\\R_+^n\\rightarrow \\R$. We also give new relations between prices of different options both in one dimensional and multidimensional case.
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中文摘要：
在本文中，我们考虑了$h（X^1_T，X^2_T，ldots，X^n_T）$类型的欧式期权，这取决于几个基础资产。我们研究了在非特定市场模型中，如何根据简单的普通期权对此类期权进行估值。我们考虑了与静态套期保值相关的不同方法，并推导出了一类广泛的支付函数$h:\\R_+^n\\rightarrow\\R$的几种定价公式。我们还给出了一维和多维情况下不同期权价格之间的新关系。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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