arXiv Open Access 2022

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

Jonathan Ansari Eva Lütkebohmert Ariel Neufeld Julian Sester

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Abstrak

We show how inter-asset dependence information derived from market prices of options can lead to improved model-free price bounds for multi-asset derivatives. Depending on the type of the traded option, we either extract correlation information or we derive restrictions on the set of admissible copulas that capture the inter-asset dependencies. To compute the resultant price bounds for some multi-asset options of interest, we apply a modified martingale optimal transport approach. Several examples based on simulated and real market data illustrate the improvement of the obtained price bounds and thus provide evidence for the relevance and tractability of our approach.

Topik & Kata Kunci

q-fin.MF math.PR q-fin.CP q-fin.PR

Penulis (4)

Jonathan Ansari

Eva Lütkebohmert

Ariel Neufeld

Julian Sester

Format Sitasi

APA MLA BibTeX

Ansari, J., Lütkebohmert, E., Neufeld, A., Sester, J. (2022). Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information. https://arxiv.org/abs/2204.01071

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Informasi Jurnal

Tahun Terbit: 2022
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓