A model-free approach to multivariate option pricing

DOI10.1007/s11147-020-09172-2zbMath1470.91270OpenAlexW3125983587MaRDI QIDQ2047036

Oleg Bondarenko, Steven Vanduffel, Carole Bernard

Publication date: 19 August 2021

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-020-09172-2

zbMATH Keywords

entropymodel uncertaintyrearrangement algorithmmultivariate option pricingoption-implied dependencerisk-neutral joint distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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