{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/bounds-on-multi-asset-derivatives-via-neural","title":"Bounds on Multi-asset Derivatives via Neural Networks","arxiv_id":"1911.05523","date":"2019-11-13","proceeding":null,"authors":["Luca De Gennaro Aquino","Carole Bernard"],"abstract":"Using neural networks, we compute bounds on the prices of multi-asset derivatives given information on prices of related payoffs. As a main example, we focus on European basket options and include information on the prices of other similar options, such as spread options and/or basket options on subindices. We show that, in most cases, adding further constraints gives rise to bounds that are considerably tighter and discuss the maximizing/minimizing copulas achieving such bounds. Our approach follows the literature on constrained optimal transport and, in particular, builds on a recent paper by Eckstein and Kupper (2019, Appl. Math. Optim.).","url_abs":"https://arxiv.org/abs/1911.05523v6","url_pdf":"https://arxiv.org/pdf/1911.05523v6.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"bounds-on-multi-asset-derivatives-via-neural","repo_url":"https://github.com/luca-dga/-","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"none","reach":{"status":"ok"}}],"tasks":[{"task_slug":"math","task_name":"Math"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"syntology_url":"https://syntology.ai/paper/1911.05523","atlas_url":"https://app.syntology.ai/?focus=1911.05523","mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}