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"Computing arbitrage upper bounds on basket options in the presence of ..."

Javier Peña, Juan Carlos Vera, Luis F. Zuluaga (2012)

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DOI: 10.1016/J.EJOR.2012.04.035

access: closed

type: Journal Article

metadata version: 2021-06-29

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  - https://dblp.org/rec/journals/eor/PenaVZ12
Javier Peña, Juan Carlos Vera, Luis F. Zuluaga:
Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads. Eur. J. Oper. Res. 222(2): 369-376 (2012)

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