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Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options

https://doi.org/10.1239/jap/1308662634
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Worst VaR scenarios with given marginals and measures of association
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Static-arbitrage upper bounds for the prices of basket options
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BOUNDS ON BIVARIATE DISTRIBUTION FUNCTIONS WITH GIVEN MARGINS AND MEASURES OF ASSOCIATION
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Inequalities for Distributions with Given Marginals
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Dependency of Risks and Stop-Loss Order

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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