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June 2011 Improved Fréchet bounds and model-free pricing of multi-asset options
Peter Tankov
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J. Appl. Probab. 48(2): 389-403 (June 2011). DOI: 10.1239/jap/1308662634

Abstract

Improved bounds on the copula of a bivariate random vector are computed when partial information is available, such as the values of the copula on a given subset of [0, 1]2, or the value of a functional of the copula, monotone with respect to the concordance order. These results are then used to compute model-free bounds on the prices of two-asset options which make use of extra information about the dependence structure, such as the price of another two-asset option.

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Peter Tankov. "Improved Fréchet bounds and model-free pricing of multi-asset options." J. Appl. Probab. 48 (2) 389 - 403, June 2011. https://doi.org/10.1239/jap/1308662634

Information

Published: June 2011
First available in Project Euclid: 21 June 2011

zbMATH: 1219.60016
MathSciNet: MR2840306
Digital Object Identifier: 10.1239/jap/1308662634

Subjects:
Primary: 60E15, 91G20

Rights: Copyright © 2011 Applied Probability Trust

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Vol.48 • No. 2 • June 2011
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