Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads

DOI10.1016/j.ejor.2012.04.035zbMath1253.91179DBLPjournals/eor/PenaVZ12OpenAlexW2021366150WikidataQ58051137 ScholiaQ58051137MaRDI QIDQ1926944

Luis F. Zuluaga, Juan Carlos Vera, Javier F. Peña

Publication date: 29 December 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2012.04.035

zbMATH Keywords

linear programmingoption pricingincomplete marketsfinanceEuropean optionsarbitrage bounds\texttt{MATLAB}\texttt{MATLAB package abritragebounds}

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Linear programming (90C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

On distributional robust probability functions and their computations ⋮ A new concept of reliability system and applications in finance ⋮ Computing lower bounds on basket option prices by discretizing semi-infinite linear programming

Uses Software

• Matlab

Cites Work

• Unnamed Item
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• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• Option bounds
• Sharp Upper and Lower Bounds for Basket Options

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