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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一种无模型的多元期权定价方法

我们提出了一种新颖的无模型方法来提取联合多元分布，这与写在单个股票以及各种可用指数上的期权是一致的。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以及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。有了联合分配，我们可以为与路径无关的通用多元期权定价。