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    Computing general static-arbitrage bounds for European basket options via Dantzig-Wolfe decomposition
    13 years 2 months ago
    Computing general static-arbitrage bounds for European basket options via Dantzig-Wolfe decomposition
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    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...
    Javier Peña, Xavier Saynac, Juan Carlos Ver...
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