Computing lower bounds on basket option prices by discretizing semi-infinite linear programming

DOI10.1007/s11590-015-0987-zzbMath1414.91366OpenAlexW2266664172MaRDI QIDQ518129

Kyoung-Kuk Kim, Kyungsik Lee, Hyunseok Cho

Publication date: 28 March 2017

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-015-0987-z

zbMATH Keywords

linear programmingseparation problembasket optionstatic-arbitrage bound

Mathematics Subject Classification ID

Semi-infinite programming (90C34) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Recent contributions to linear semi-infinite optimization: an update ⋮ Duality for robust linear infinite programming problems revisited

Cites Work

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• A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing
• Static-arbitrage upper bounds for the prices of basket options
• Pricing and Hedging Spread Options
• Sharp Upper and Lower Bounds for Basket Options

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