Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads (Q1926944)
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scientific article; zbMATH DE number 6119516
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads |
scientific article; zbMATH DE number 6119516 |
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Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads (English)
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29 December 2012
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finance
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option pricing
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European options
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incomplete markets
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arbitrage bounds
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linear programming
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\texttt{MATLAB}
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\texttt{MATLAB package abritragebounds}
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