Improved Frechet bounds and model-free pricing of multi-asset options
Pricing of Securities
2011-03-28 v2 Probability
Computational Finance
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 , 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.
Keywords
Cite
@article{arxiv.1004.4153,
title = {Improved Frechet bounds and model-free pricing of multi-asset options},
author = {Peter Tankov},
journal= {arXiv preprint arXiv:1004.4153},
year = {2011}
}
Comments
Replaced with revised version