Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options
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Publication:3014980
DOI10.1239/JAP/1308662634zbMath1219.60016arXiv1004.4153OpenAlexW2963905191MaRDI QIDQ3014980
Publication date: 8 July 2011
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1004.4153
Inequalities; stochastic orderings (60E15) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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- Static-arbitrage optimal subreplicating strategies for basket options
- An introduction to copulas.
- Worst VaR scenarios with given marginals and measures of association
- Inequalities for distributions with given marginals
- A characterization of quasi-copulas
- Some remarks on the supermodular order
- Best-possible bounds on sets of bivariate distribution functions
- Static-arbitrage upper bounds for the prices of basket options
- BOUNDS ON BIVARIATE DISTRIBUTION FUNCTIONS WITH GIVEN MARGINS AND MEASURES OF ASSOCIATION
- Introdction to Measure and Probability
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