Static-arbitrage lower bounds on the prices of basket options via linear programming

DOI10.1080/14697680902956703zbMath1204.91132WikidataQ58051155 ScholiaQ58051155MaRDI QIDQ3063848

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

Publication date: 15 December 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902956703

Mathematics Subject Classification ID

90C05: Linear programming

91G20: Derivative securities (option pricing, hedging, etc.)