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...
Saved in:
| Main Authors: | , , |
|---|---|
| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2023
|
| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/169333 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Nanyang Technological University |
| Language: | English |