Improved robust price bounds for multi-asset derivatives under market-implied dependence information (Q6619585)
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scientific article; zbMATH DE number 7927017
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Improved robust price bounds for multi-asset derivatives under market-implied dependence information |
scientific article; zbMATH DE number 7927017 |
Statements
Improved robust price bounds for multi-asset derivatives under market-implied dependence information (English)
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16 October 2024
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multi-asset options
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model-free pricing
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quasi-copulas
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correlation
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dependence information
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