2000 character limit reached
Improved Frechet bounds and model-free pricing of multi-asset options (1004.4153v2)
Published 23 Apr 2010 in q-fin.PR, math.PR, and q-fin.CP
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.
Sponsor
Paper Prompts
Sign up for free to create and run prompts on this paper using GPT-5.
Top Community Prompts
Collections
Sign up for free to add this paper to one or more collections.
