Static-arbitrage optimal subreplicating strategies for basket options (Q817290)
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scientific article; zbMATH DE number 5009868
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Static-arbitrage optimal subreplicating strategies for basket options |
scientific article; zbMATH DE number 5009868 |
Statements
Static-arbitrage optimal subreplicating strategies for basket options (English)
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8 March 2006
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basket options
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anti-monotonicity
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subreplication
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arbitrage-free bounds
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copula
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0.91302645
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0.9085169
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0.90672344
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0.87437516
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0.87093574
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0.86684716
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0.8655564
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0.86380255
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0.8619692
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