Multiasset Derivatives and Joint Distributions of Asset Prices

Molchanov, Ilya; Schmutz, Michael (2014). Multiasset Derivatives and Joint Distributions of Asset Prices. In: Kabanov, Yuri; Rutkowski, Marek; Zariphopoulou, Thaleia (eds.) Inspired by Finance - The Musiela Festschrift (pp. 439-459). Switzerland: Springer 10.1007/978-3-319-02069-3

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Several of multiasset derivatives like basket options or options on the weighted maximum of assets exhibit the property that their prices determine uniquely the underlying asset distribution. Related to that the question how to retrieve this distributions from the corresponding derivatives quotes will be discussed. On the contrary, the prices of exchange options do not uniquely determine the underlying distributions of asset prices and the extent of this non-uniqueness can be characterised. The discussion is related to a geometric interpretation of multiasset derivatives as support functions of convex sets. Following this, various symmetry properties for basket, maximum and exchange options are discussed alongside with their geometric interpretations and some decomposition results for more general payoff functions.

Item Type:	Book Section (Book Chapter)
Division/Institute:	08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science
UniBE Contributor:	Molchanov, Ilya, Schmutz, Michael
Subjects:	500 Science > 510 Mathematics
ISBN:	978-3-319-02069-3
Publisher:	Springer
Language:	English
Submitter:	Lutz Dümbgen
Date Deposited:	01 Apr 2014 03:02
Last Modified:	05 Dec 2022 14:28
Publisher DOI:	10.1007/978-3-319-02069-3
URI:	https://boris.unibe.ch/id/eprint/41531