We propose a novel model-free approach to extract a joint multivariate distribution, which is consistent with options written on individual stocks as well as on various available indices. To do so, we first use the market prices of traded options to infer the risk-neutral marginal distributions for the stocks and the linear combinations given by the indices and then apply a new combinatorial algorithm to find a compatible joint distribution. Armed with the joint distribution, we can price general path-independent multivariate options.

中文翻译：

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多元期权定价的无模型方法

我们提出了一种新颖的无模型方法来提取联合多元分布，该分布与个股以及各种可用指数上的期权一致。为此，我们首先使用交易期权的市场价格来推断股票的风险中性边际分布和指数给出的线性组合，然后应用新的组合算法来找到兼容的联合分布。借助联合分布，我们可以对一般路径无关的多元期权进行定价。