General closed-form basket option pricing bounds
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697688.2015.1073854
Reference64 articles.
1. Static Hedging of Asian Options under Lévy Models
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3. Beisser, J., Topics in finance-A conditional expectation approach to value Asian, basket and spread options. PhD Thesis, Johannes Gutenberg University Mainz, 2001.
4. On the Relation Between Option and Stock Prices: A Convex Optimization Approach
5. Closed form spread option valuation
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