Improved Fr\'echet$-$Hoeffding bounds on $d$-copulas and applications in model-free finance
Download full text from publisher
References listed on IDEAS
- Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
- Genest, C. & Quesada Molina, J. J. & Rodriguez Lallena, J. A. & Sempi, C., 1999. "A Characterization of Quasi-copulas," Journal of Multivariate Analysis, Elsevier, vol. 69(2), pages 193-205, May.
- Peter Tankov, 2010. "Improved Frechet bounds and model-free pricing of multi-asset options," Papers 1004.4153, arXiv.org, revised Mar 2011.
- M. Taylor, 2007. "Multivariate measures of concordance," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(4), pages 789-806, December.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Thibaut Lux & Antonis Papapantoleon, 2016. "Model-free bounds on Value-at-Risk using partial dependence information," Papers 1610.09734, arXiv.org, revised Jun 2017.
- Stephan Eckstein & Michael Kupper, 2018. "Computation of optimal transport and related hedging problems via penalization and neural networks," Papers 1802.08539, arXiv.org.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-03-10 (All new papers)
StatisticsAccess and download statistics
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:arx:papers:1602.08894. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .
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.
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.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.