Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads
type: Item
instance of: scholarly article
title: Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads
zbMATH Open document ID: 1253.91179
author: Luis Fernando Zuluaga
author: Javier Peña
author: Juan Vera
published in: European Journal of Operational Research
publication date: 2012-12-29T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 90C05
zbMATH DE Number: 6119516
zbMATH Keywords: finance
zbMATH Keywords: option pricing
zbMATH Keywords: European options
zbMATH Keywords: incomplete markets
zbMATH Keywords: arbitrage bounds
zbMATH Keywords: linear programming
zbMATH Keywords: \texttt{MATLAB}
zbMATH Keywords: \texttt{MATLAB package abritragebounds}
Wikidata QID: Q58051137
describes a project that uses: Matlab
MaRDI profile type: Publication
full work available at URL: j.ejor.2012.04.035
OpenAlex ID: W2021366150
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DBLP publication ID: journals/eor/PenaVZ12
DOI: 10.1016/J.EJOR.2012.04.035
description: scientific article; zbMATH DE number 6119516