A Note on ‘Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options’ by Tankov (2011)
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Publication:3165500
DOI10.1239/jap/1346955339zbMath1259.60022OpenAlexW3125070057MaRDI QIDQ3165500
Carole Bernard, Steven Vanduffel, Xiao Jiang
Publication date: 29 October 2012
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1346955339
Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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Cites Work
- Solution of a statistical optimization problem by rearrangement methods
- An introduction to copulas.
- Inequalities for distributions with given marginals
- Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
- Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options
- Convex majorization with an application to the length of critical paths
- Solution of Some Transportation Problems with Relaxed or Additional Constraints
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