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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| Main Authors: | , , |
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| 格式: | Article |
| 語言: | English |
| 出版: |
2023
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| 在線閱讀: | https://hdl.handle.net/10356/169333 |
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