Technical note: Dependence and two-asset options pricing

Grégory Rapuch and Thierry Roncalli

Journal of Computational Finance

Abstract: ABSTRACT In this short note, we consider some problems dealing with two-asset options pricing. In particular, we investigate the relationship between options prices and the “correlation” parameter in the Black–Scholes model. Then, we consider the general case in the framework of the copula construction of risk neutral distributions. This extension involves results on the supermodular order applied to the Feynman–Kac representation. We show that it could be viewed as a generalization of the maximum principle for parabolic PDEs.

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