6 search results - page 1 / 2 » Static arbitrage bounds on basket option prices |
CORR
2004
Springer
13 years 4 months ago
2004
Springer
We compare static arbitrage price bounds on basket calls, i.e. bounds that only involve buy-and-hold trading strategies, with the price range obtained within a multivariate genera...
MP
2006
13 years 4 months ago
2006
AOR
2010
13 years 2 months ago
2010
We study the problem of computing general static-arbitrage bounds for European basket options; that is, computing bounds on the price of a basket option, given the only assumption...
SIAMFM
2011
12 years 7 months ago
2011
We consider model-free pricing of digital options, which pay out if the underlying asset has crossed both upper and lower barriers. We make only weak assumptions about the underly...
STOC
2006
ACM
14 years 5 months ago
2006
ACM
In this work we show how to use efficient online trading algorithms to price the current value of financial instruments, such as an option. We derive both upper and lower bounds f...