Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads (Q1926944)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads |
scientific article |
Statements
Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads (English)
0 references
29 December 2012
0 references
finance
0 references
option pricing
0 references
European options
0 references
incomplete markets
0 references
arbitrage bounds
0 references
linear programming
0 references
\texttt{MATLAB}
0 references
\texttt{MATLAB package abritragebounds}
0 references
0 references
