{
  "id": "1004.4153",
  "version": "v2",
  "published": "2010-04-23T14:58:56.000Z",
  "updated": "2011-03-25T14:24:09.000Z",
  "title": "Improved Frechet bounds and model-free pricing of multi-asset options",
  "authors": [
    "Peter Tankov"
  ],
  "comment": "Replaced with revised version",
  "categories": [
    "q-fin.PR",
    "math.PR",
    "q-fin.CP"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2011-03-25T14:24:09.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60E15",
      "91G20"
    ],
    "keywords": [
      "multi-asset options",
      "frechet bounds",
      "model-free pricing",
      "two-asset option",
      "bivariate random vector"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2010arXiv1004.4153T"
    }
  }
}