Improved Fréchet bounds and model-free pricing of multi-asset options (Q3014980)
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scientific article; zbMATH DE number 5918590
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| default for all languages | No label defined |
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| English | Improved Fréchet bounds and model-free pricing of multi-asset options |
scientific article; zbMATH DE number 5918590 |
Statements
Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options (English)
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8 July 2011
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copula
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Fréchet-Hoeffding bound
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concordance order
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basket option
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0.9035695791244508
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0.8280240893363953
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0.8275895714759827
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0.8015572428703308
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0.8014113306999207
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