Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options
From MaRDI portal
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)
Related Items (37)
Marginal and Dependence Uncertainty: Bounds, Optimal Transport, and Sharpness ⋮ Flipping of multivariate aggregation functions ⋮ Curved splicing of copulas ⋮ A Note on ‘Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options’ by Tankov (2011) ⋮ The unwalked path between quasi-copulas and copulas: stepping stones in higher dimensions ⋮ Multiasset Derivatives and Joint Distributions of Asset Prices ⋮ Copulas with given values on the tails ⋮ Detection of arbitrage opportunities in multi-asset derivatives markets ⋮ Model-free bounds on value-at-risk using extreme value information and statistical distances ⋮ Optimal bounds for integrals with respect to copulas and applications ⋮ Best-possible bounds on the set of copulas with a given value of Spearman's footrule ⋮ A generalization of quasi-homogenous copulas ⋮ On intermediate marginals in martingale optimal transportation ⋮ Partial identification of latent correlations with ordinal data ⋮ Multivariate copulas with given values at two arbitrary points ⋮ Improved Fréchet-Hoeffding bounds on \(d\)-copulas and applications in model-free finance ⋮ Unnamed Item ⋮ A hitchhiker's guide to quasi-copulas ⋮ Zero-sets of copulas ⋮ BOUNDING WRONG‐WAY RISK IN CVA CALCULATION ⋮ Best-possible bounds on the set of copulas with given degree of non-exchangeability ⋮ Multivariate countermonotonicity and the minimal copulas ⋮ Computing lower bounds on basket option prices by discretizing semi-infinite linear programming ⋮ Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations ⋮ Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence ⋮ Risk aggregation with dependence uncertainty ⋮ Measuring exposure to dependence risk with random Bernstein copula scenarios ⋮ VaR bounds for joint portfolios with dependence constraints ⋮ Extremal Lipschitz continuous aggregation functions with a given diagonal section ⋮ On minimal copulas under the concordance order ⋮ Partial identification of latent correlations with binary data ⋮ Optimal portfolios under worst-case scenarios ⋮ On the degree of asymmetry of a quasi-copula with respect to a curve ⋮ How to Prove Sklar’s Theorem ⋮ Partial identification of average treatment effects on the treated through difference-in-differences ⋮ Solution to an open problem about a transformation on the space of copulas ⋮ Copulas Based on Marshall–Olkin Machinery
Cites Work
- 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
- Unnamed Item
This page was built for publication: Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options
