Detection of arbitrage opportunities in multi-asset derivatives markets

DOI10.1515/demo-2021-0121zbMath1483.91240arXiv2002.06227OpenAlexW4226073155MaRDI QIDQ2667758

Antonis Papapantoleon, Paulo Yanez Sarmiento

Publication date: 1 March 2022

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.06227

zbMATH Keywords

copulasarbitrageequivalent martingale measuresmultiple assetsimproved Fréchet-Hoeffding boundsdetection of arbitrage opportunitiesmulti-asset derivatives

Mathematics Subject Classification ID

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)

Cites Work

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