✦ LIBER ✦

Static-arbitrage upper bounds for the prices of basket options

✍ Scribed by Hobson *, David; Laurence, Peter; Wang, Tai-Ho

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Static arbitrage bounds on basket option

✍ Alexandre d'Aspremont; Laurent El Ghaoui 📂 Article 📅 2005 🏛 Springer-Verlag 🌐 English ⚖ 233 KB

Computing arbitrage upper bounds on bask

✍ Javier Peña; Juan C. Vera; Luis F. Zuluaga 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 259 KB

An easy computable upper bound for the p

✍ S. Simon; M.J. Goovaerts; J. Dhaene 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 86 KB

An Extension of the Chaos Expansion Appr

✍ Funahashi, Hideharu; Kijima, Masaaki 📂 Article 📅 2013 🏛 Taylor and Francis Group 🌐 English ⚖ 437 KB

The price of connectivity for dominating

✍ Camby, Eglantine; Schaudt, Oliver 📂 Article 📅 2014 🏛 Elsevier Science 🌐 English ⚖ 393 KB

A general framework for the derivation o

✍ Oleg Bondarenko; Iñaki R. Longarela 📂 Article 📅 2009 🏛 Springer US 🌐 English ⚖ 387 KB