On the Solution of the Multi-asset Black-Scholes model: Correlations, Eigenvalues and Geometry

Contreras, Mauricio; Llanquihuén, Alejandro; Villena, Marcelo

doi:10.48550/arxiv.1510.02768

2015

DOI: 10.48550/arxiv.1510.02768

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On the Solution of the Multi-asset Black-Scholes model: Correlations, Eigenvalues and Geometry

Mauricio Contreras¹,

Alejandro Llanquihuén²,

Marcelo Villena³

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On the Solution of the Multi-asset Black-Scholes model: Correlations, Eigenvalues and Geometry

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