Sharp Upper and Lower Bounds for Basket Options
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Publication:5700151
Recommendations
- Static-arbitrage upper bounds for the prices of basket options
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- Static arbitrage bounds on basket option prices
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- Bounds for Asian basket options
- Computing lower bounds on basket option prices by discretizing semi-infinite linear programming
- Static-arbitrage lower bounds on the prices of basket options via linear programming
- Pricing of Asian-type and basket options via bounds
- Lower bound approximation of nonlinear basket option with jump-diffusion
Cites work
- scientific article; zbMATH DE number 3130649 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- A cutting plane algorithm for semi-definite programming problems with applications to failure discriminant analysis
- An introduction to copulas. Properties and applications
- Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
- On the Relation Between Option and Stock Prices: A Convex Optimization Approach
- Robustness of the Black and Scholes Formula
- Tighter option bounds from multiple exercise prices
Cited in
(25)- Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios
- Quantile hedging for basket derivatives
- Pricing and hedging basket options with exact moment matching
- Third-order extensions of Lo's semiparametric bound for European call options
- Static-arbitrage lower bounds on the prices of basket options via linear programming
- Static arbitrage bounds on basket option prices
- General closed-form basket option pricing bounds
- On sums of two counter-monotonic risks
- Model-independent lower bound on variance swaps
- SDP relaxation of arbitrage pricing bounds based on option prices and moments
- Technical Note—A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula
- Bounds on multi-asset derivatives via neural networks
- Model-independent bounds for option prices -- a mass transport approach
- A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing
- Static-arbitrage upper bounds for the prices of basket options
- An explicit martingale version of the one-dimensional Brenier theorem
- Accurate closed-form approximation for pricing Asian and basket options
- Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads
- Computing lower bounds on basket option prices by discretizing semi-infinite linear programming
- Integral representations of risk functions for basket derivatives
- European basket option pricing by maximizing over a subset of lower bounds
- Model-independent superhedging under portfolio constraints
- Sparse calibrations of contingent claims
- Static-arbitrage optimal subreplicating strategies for basket options
- Semiparametric bounds of mean and variance for exotic options
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