Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads
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Publication:1926944
DOI10.1016/j.ejor.2012.04.035zbMath1253.91179WikidataQ58051137 ScholiaQ58051137MaRDI QIDQ1926944
Juan Carlos Vera, Luis F. Zuluaga, 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
linear programming; option pricing; incomplete markets; finance; European options; arbitrage bounds; \texttt{MATLAB}; \texttt{MATLAB package abritragebounds}
91G60: Numerical methods (including Monte Carlo methods)
90C05: Linear programming
91G20: Derivative securities (option pricing, hedging, etc.)
Uses Software