No arbitrage between economies and correlation risk management

DOI10.1023/A:1008683928907zbMath0883.90013OpenAlexW1544876106MaRDI QIDQ1367952

Rémi Souveton, Hélyette Geman

Publication date: 5 October 1997

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1008683928907

zbMATH Keywords

risk premiaquanto optionschange of numéairemulti-economies arbitragevolatility vector

Mathematics Subject Classification ID

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