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We show how inter-asset dependence information derived from market prices ofoptions can lead to improved model-free price bounds for multi-assetderivatives. Depending on the type of the traded option, we either extractcorrelation information or we derive restrictions on the set of admissiblecopulas that capture the inter-asset dependencies. To compute the resultantprice bounds for some multi-asset options of interest, we apply a modifiedmartingale optimal transport approach. Several examples based on simulated andreal market data illustrate the improvement of the obtained price bounds andthus provide evidence for the relevance and tractability of our approach.

Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information