Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options

Peter Tankov

64 citations0/0 files storedJournal of Applied Probability

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 64 citations exist upstream.

References

1999An Introduction to Copulas 1996Dependency of Risks and Stop-Loss Order 1999A Characterization of Quasi-copulas 2005Static-arbitrage upper bounds for the prices of basket options 2003Best-possible bounds on sets of bivariate distribution functions

Cited by

2014Explicit Representation of Cost-Efficient Strategies 2017Improved Fréchet–Hoeffding bounds on $d$-copulas and applications in model-free finance

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.