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...
| Váldodahkkit: | , , |
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| Eará dahkkit: | |
| Materiálatiipa: | Journal Article |
| Giella: | English |
| Almmustuhtton: |
2023
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| Fáttát: | |
| Liŋkkat: | https://hdl.handle.net/10356/169333 |