Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals
Year of publication: |
2015
|
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Authors: | Tavin, Bertrand |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 53.2015, p. 158-178
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Subject: | Multi-asset derivative | Arbitrage | Incomplete market | Risk-neutral measure | Multivariate distribution | Copula function | Derivat | Derivative | Unvollkommener Markt | Multivariate Verteilung | Optionspreistheorie | Option pricing theory | Arbitrage Pricing | Arbitrage pricing | Statistische Verteilung | Statistical distribution |
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