Sharp Upper and Lower Bounds for Basket Options
From MaRDI portal
Publication:5700151
DOI10.1080/1350486042000325179zbMath1138.91457OpenAlexW3121720857MaRDI QIDQ5700151
Publication date: 27 October 2005
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486042000325179
Related Items (21)
An explicit martingale version of the one-dimensional Brenier theorem ⋮ SDP relaxation of arbitrage pricing bounds based on option prices and moments ⋮ Pricing and hedging basket options with exact moment matching ⋮ Model-independent bounds for option prices -- a mass transport approach ⋮ Technical Note—A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula ⋮ Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads ⋮ Accurate closed-form approximation for pricing Asian and basket options ⋮ Computing lower bounds on basket option prices by discretizing semi-infinite linear programming ⋮ Static arbitrage bounds on basket option prices ⋮ SPARSE CALIBRATIONS OF CONTINGENT CLAIMS ⋮ Static-arbitrage lower bounds on the prices of basket options via linear programming ⋮ Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios ⋮ Third-order extensions of Lo's semiparametric bound for European call options ⋮ MODEL-INDEPENDENT LOWER BOUND ON VARIANCE SWAPS ⋮ A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing ⋮ Semiparametric bounds of mean and variance for exotic options ⋮ On sums of two counter-monotonic risks ⋮ General closed-form basket option pricing bounds ⋮ BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS ⋮ Model-independent superhedging under portfolio constraints ⋮ Static-arbitrage optimal subreplicating strategies for basket options
Cites Work
- Unnamed Item
- Unnamed Item
- Tighter option bounds from multiple exercise prices
- A cutting plane algorithm for semi-definite programming problems with applications to failure discriminant analysis
- An introduction to copulas. Properties and applications
- Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
- On the Relation Between Option and Stock Prices: A Convex Optimization Approach
- Robustness of the Black and Scholes Formula
This page was built for publication: Sharp Upper and Lower Bounds for Basket Options
