Comonotonic asset prices in arbitrage-free markets

Jan Dhaene, Alexander Kukush, Daniel Hemant Linders

Research output: Contribution to journalArticle

Abstract

For an arbitrage-free market with a single underlying asset, we investigate conditions under which the consecutive price levels are comonotonic. Furthermore, for an arbitrage-free market with n assets we investigate the consequences of assuming comonotonicity of the vector containing the price levels of each asset at a single future date T. Although being of a theoretical nature, the results of this paper give insight in the reachability of the comonotonic upper bounds for Asian options and for basket options that can be found in Simon et al. (2000), Dhaene et al. (2002) [1], Hobson et al. (2005) and Chen et al. (2008).

Original languageEnglish (US)
Article number112310
JournalJournal of Computational and Applied Mathematics
Volume364
DOIs
StatePublished - Jan 15 2020

Fingerprint

Arbitrage
Comonotonicity
Asian Options
Reachability
Date
Consecutive
Upper bound
Market

Keywords

  • Arbitrage
  • Asian option
  • Basket option
  • Comonotonicity

ASJC Scopus subject areas

  • Computational Mathematics
  • Applied Mathematics

Cite this

Comonotonic asset prices in arbitrage-free markets. / Dhaene, Jan; Kukush, Alexander; Linders, Daniel Hemant.

In: Journal of Computational and Applied Mathematics, Vol. 364, 112310, 15.01.2020.

Research output: Contribution to journalArticle

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