Xiao Jiang

University of Waterloo

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

1

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310

TOTAL CITATIONS

1

Scholarly Papers (1)

1.

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

Journal of Applied Probability, Forthcoming
Number of pages: 12 Posted: 13 Feb 2012 Last Revised: 11 May 2012
Grenoble Ecole de Management, University of Waterloo and Vrije Universiteit Brussel (VUB)
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Citation 1

Abstract:

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bounds, copulas, Frechet Hoeffding bounds, quasi-copula, optimal investment, state dependent constraints