Static-arbitrage lower bounds on the prices of basket options via linear programming

DOI10.1080/14697680902956703zbMath1204.91132OpenAlexW2039783757WikidataQ58051155 ScholiaQ58051155MaRDI QIDQ3063848

Luis F. Zuluaga, Juan Carlos Vera, Javier F. Peña

Publication date: 15 December 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902956703

Mathematics Subject Classification ID

Linear programming (90C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (11)

Detection of arbitrage opportunities in multi-asset derivatives markets ⋮ Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads ⋮ Recent contributions to linear semi-infinite optimization ⋮ Comments on: Stability in linear optimization and related topics. A personal tour ⋮ Improved Fréchet-Hoeffding bounds on \(d\)-copulas and applications in model-free finance ⋮ Computing bounds on the expected payoff of Alternative Risk Transfer products ⋮ Recent contributions to linear semi-infinite optimization: an update ⋮ Computing lower bounds on basket option prices by discretizing semi-infinite linear programming ⋮ A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing ⋮ BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS ⋮ A moment approach to bounding exotic options under regime switching

Cites Work

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• Static-arbitrage optimal subreplicating strategies for basket options
• Quantifying the error of convex order bounds for truncated first moments
• Static arbitrage bounds on basket option prices
• Static-arbitrage upper bounds for the prices of basket options
• Option bounds
• Sharp Upper and Lower Bounds for Basket Options
• A Conic Programming Approach to Generalized Tchebycheff Inequalities

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