Sharp Upper and Lower Bounds for Basket Options (Q5700151): Difference between revisions

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@@ Property / Recommended article @@
+Static-arbitrage upper bounds for the prices of basket options
+Normal rank
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+General closed-form basket option pricing bounds
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+European basket option pricing by maximizing over a subset of lower bounds
+Normal rank
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+Static arbitrage bounds on basket option prices
+Normal rank
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+Recommender Run: Recommender Run 3
@@ Property / Recommended article @@
+Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads
+Normal rank
+Similarity Score: 0.87519217Amount 0.87519217
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+Recommender Run: Recommender Run 3
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+Bounds for Asian basket options
@@ Property / Recommended article: Bounds for Asian basket options / rank @@
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@@ Property / Recommended article: Bounds for Asian basket options / qualifier @@
+Recommender Run: Recommender Run 3
@@ Property / Recommended article @@
+Computing lower bounds on basket option prices by discretizing semi-infinite linear programming
+Normal rank
+Similarity Score: 0.8709724Amount 0.8709724
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+Recommender Run: Recommender Run 3
@@ Property / Recommended article @@
+Static-arbitrage lower bounds on the prices of basket options via linear programming
+Normal rank
+Similarity Score: 0.86715746Amount 0.86715746
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+Recommender Run: Recommender Run 3
@@ Property / Recommended article @@
+Pricing of Asian-Type and Basket Options via Bounds
+Normal rank
+Similarity Score: 0.86431336Amount 0.86431336
Unit 1
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+Recommender Run: Recommender Run 3
@@ Property / Recommended article @@
+Lower bound approximation of nonlinear basket option with jump-diffusion
+Normal rank
+Similarity Score: 0.86220104Amount 0.86220104
Unit 1
-Amount
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+Recommender Run: Recommender Run 3