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Paper / 2022SMQ / 138077921342816
Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information
Ariel Neufeld / Eva Lütkebohmert / Jonathan Ansari / Julian Sester
copulas / derivativesResource overview

Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information

Paper2022

by Ariel Neufeld, Eva Lütkebohmert, Jonathan Ansari, Julian Sester

Tags
copulasderivativesmathematical financeoption pricing

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

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  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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