Detection of arbitrage opportunities in multi-asset derivatives markets
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DOI: 10.1515/demo-2021-0121
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References listed on IDEAS
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Cited by:
- Ariel Neufeld & Antonis Papapantoleon & Qikun Xiang, 2023. "Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Their Exact Computation," Management Science, INFORMS, vol. 69(4), pages 2051-2068, April.
- Jonathan Ansari & Eva Lutkebohmert & Ariel Neufeld & Julian Sester, 2022. "Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information," Papers 2204.01071, arXiv.org, revised Sep 2023.
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Keywords
Arbitrage; equivalent martingale measures; detection of arbitrage opportunities; multiple assets; multi-asset derivatives; copulas; improved Fréchet–Hoeffding bounds;All these keywords.
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