  We develop a new analysis for portfolio optimisation with options, tackling
the three fundamental issues with this problem: asymmetric options'
distributions, high dimensionality and dependence structure. To do so, we
propose a new dependency matrix, built upon conditional probabilities between
options' payoffs, and show how it can be computed in closed form given a copula
structure of the underlying asset prices. The empirical evidence we provide
highlights that this approach is efficient, fast and easily scalable to large
portfolios of (mixed) options.
