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

J. Pena, J.C. Vera, L.F. Zuluaga

Research output: Contribution to journalArticleScientificpeer-review

11 Citations (Scopus)
Original languageEnglish
Pages (from-to)819-827
JournalQuantitative Finance
Volume10
Issue number8
Publication statusPublished - 2010

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