Model-free bounds, optimal transport and applications in finance


This talk considers model-free bounds for multi-asset option prices in a setting where the marginals are known and the dependence structure is partially known. We will first present methods to sharpen the classical... [ view full abstract ]


  1. Antonis Papapantoleon (National Technical University of Athens)
  2. Daniel Bartl (University of Konstanz)
  3. Michael Kupper (University of Konstanz)
  4. Thibaut Lux (Helvetia Insurance Group)
  5. Stephan Eckstein (University of Konstanz)

Topic Areas

Hedging , Optimal Transport , Options


TU-P-DA » Robust and Model-Free Finance (14:30 - Tuesday, 17th July, Davis)

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