A Note on 'Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options' by Tankov (2011)

Carole Bernard, Xiao Jiang, Steven Vanduffel. A Note on 'Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options' by Tankov (2011). J. Applied Probability, 49(3):866-875, 2012. [doi]

Authors

Carole Bernard

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Xiao Jiang

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Steven Vanduffel

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