No arbitrage between economies and correlation risk management

DOI10.1023/A:1008683928907MaRDI QIDQ1367952zbMATH OpenOpenAlexFDO

Authors Helyette Geman, Rémi Souveton

Publication date 5 October 1997

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1008683928907

zbMATH Keywords

change of numéairemulti-economies arbitragequanto optionsrisk premiavolatility vector

Mathematics Subject Classification ID

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