Model-free bounds for multi-asset options using option-implied information and their exact computation

We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices. We work in a completely realistic setting, in that we only assume the knowledge of traded prices fo...

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Váldodahkkit: Neufeld, Ariel, Papapantoleon, Antonis, Xiang,Qikun
Eará dahkkit: School of Physical and Mathematical Sciences
Materiálatiipa: Journal Article
Giella:English
Almmustuhtton: 2023
Fáttát:
Liŋkkat:https://hdl.handle.net/10356/169333