IDEAS home Printed from https://ideas.repec.org/a/spr/finsto/v28y2024i4d10.1007_s00780-024-00539-z.html
   My bibliography  Save this article

Improved robust price bounds for multi-asset derivatives under market-implied dependence information

Author

Listed:
  • Jonathan Ansari

    (University of Freiburg)

  • Eva Lütkebohmert

    (University of Freiburg)

  • Ariel Neufeld

    (NTU Singapore)

  • Julian Sester

    (National University of Singapore)

Abstract

We show how inter-asset dependence information derived from market prices of options can lead to improved model-free price bounds for multi-asset derivatives. Depending on the type of the traded option, we either extract correlation information or derive restrictions on the set of admissible copulas that capture the inter-asset dependences. To compute the resulting price bounds for some multi-asset options of interest, we apply a modified martingale optimal transport approach. Several examples based on simulated and real market data illustrate the improvement of the obtained price bounds and thus provide evidence for the relevance and tractability of our approach.

Suggested Citation

  • Jonathan Ansari & Eva Lütkebohmert & Ariel Neufeld & Julian Sester, 2024. "Improved robust price bounds for multi-asset derivatives under market-implied dependence information," Finance and Stochastics, Springer, vol. 28(4), pages 911-964, October.
    • Handle: RePEc:spr:finsto:v:28:y:2024:i:4:d:10.1007_s00780-024-00539-z
    DOI: 10.1007/s00780-024-00539-z
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s00780-024-00539-z
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s00780-024-00539-z?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Multi-asset options; Model-free pricing; Quasi-copulas; Correlation; Dependence information;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:28:y:2024:i:4:d:10.1007_s00780-024-00539-z. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.