Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options
By Peter Tankov. Journal of Applied Probability, 2010
71 citations recorded by the source corpus.
Improved bounds on the copula of a bivariate random vector are computed when partial information is available, such as the values of the copula on a given subset of [0, 1]2, or the value of a functional of the copula, monotone with respect to the concordance order. These results are then used to compute model-free bounds on the prices of two-asset options which make use of extra information about the dependence structure, such as the price of another two-asset option.
Subfields: Demography, Finance
View Paper: https://www.semanticscholar.org/paper/aa39237413ebf654103440b72a0a751ca28bb6fb
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- Andrew J. Patton
- Yanqin Fan
- Xiao Jiang
- Carole Bernard
- Ruodu Wang
- Brendan K. Beare
- Claudia Czado
- D. Oh
Citations in the corpus
- Risk aggregation with dependence uncertainty (2014, background): “Previous studies on convex order of admissible risks mainly focused on the sharp upper bound for a general number n of individual risks and the sharp lower bound for n = 2 (for example, see Denuit et al. (1999), Tankov (2011) and Bernard et al. (2012, 2013a)).”
- Copulas in Econometrics (2014, methodology): “Using the improved Fréchet-Hoeffding bounds, Tankov (2011) shows that the bounds in Cambanis et al. (1976) for supermodular functions can be tightened.”
- A New Approach to Assessing Model Risk in High Dimensions (2015, unknown): “Our approach is connected to the work of Tankov (2011), who provides (for the case in which d = 2) the pointwise minimum and maximum dependence structure (copula) among all copulas that are fixed on some compact subset F of [0, 1].(2) Generally, the bounds obtained from Tankov (2011) are not copulas”