Improved Fréchet-Hoeffding bounds on \(d\)-copulas and applications in model-free finance

DOI10.1214/17-AAP1292zbMath1390.62091arXiv1602.08894MaRDI QIDQ1704147

Antonis Papapantoleon, Thibaut Lux

Publication date: 8 March 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.08894

zbMATH Keywords

copulas, quasi-copulasimproved Fréchet-Hoeffding boundsoption pricing under partial uncertainty

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20)

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