Dhaene, Jan
[Verfasser:in]
;
Kukush, Alexander
[Sonstige Person, Familie und Körperschaft];
Linders, Daniël
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
In: Theory of Probability and Mathematical Statistics, vol 88, pages 1-14, 2013
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 8, 2012 erstellt
Beschreibung:
In order to price multivariate derivatives, there is need for a multivariate stock price model. To keep the simplicity and attractiveness of the one-dimensional Black & Scholes model, one often considers a multivariate model where each individual stock follows a Black & Scholes model, but the underlying Brownian motions might be correlated. Although the classical one-dimensional Black & Scholes model is always arbitrage-free and complete, this statement does not hold true in a multivariate setting.In this paper, we derive conditions under which the the multivariate Black & Scholes model is arbitrage-free and complete