Static arbitrage bounds on basket option prices
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Software
Link
http://link.springer.com/content/pdf/10.1007/s10107-005-0642-z.pdf
Reference18 articles.
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2. Brigo, D., Mercurio, F.: Interest rate models, theory and practice. Springer Finance, 2001
3. Bertsimas, D., Popescu, I.: On the relation between option and stock prices: a convex optimization approach. Operations Research 50 (2), 358–374 (2002)
4. Black, F., Scholes, M.: The pricing of options and corporate liabilities. Journal of Political Economy 81, 637–659 (1973)
5. Boyd, S., Vandenberghe, L.: Convex optimization. Cambridge University Press, 2004
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