Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals
Bertrand Tavin
| Year of publication: |
2015
|
|---|---|
| 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
|
| 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 | Finanzmarkt | Financial market | Portfolio-Management | Portfolio selection |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011377717