Static versus Dynamic Arbitrage Bounds on Multivariate Option Prices
| dc.creator | d'Aspremont, Alexandre | |
| dc.date | 2004-07-10 | |
| dc.date.accessioned | 2026-07-07T03:21:33Z | |
| dc.date.available | 2026-07-07T03:21:33Z | |
| dc.description | We compare static arbitrage price bounds on basket calls, i.e. bounds that only involve buy-and-hold trading strategies, with the price range obtained within a multi-variate generalization of the Black-Scholes model. While there is no gap between these two sets of prices in the univariate case, we observe here that contrary to our intuition about model risk for at-the-money calls, there is a somewhat large gap between model prices and static arbitrage prices, hence a similarly large set of prices on which a multivariate Black-Scholes model cannot be calibrated but where no conclusion can be drawn on the presence or not of a static arbitrage opportunity. | |
| dc.description | Submitted to IMA series | |
| dc.identifier | https://arxiv.org/abs/cs/0407029 | |
| dc.identifier | http://arxiv.org/abs/cs/0407029 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/32243 | |
| dc.subject | Computational Engineering, Finance, and Science | |
| dc.title | Static versus Dynamic Arbitrage Bounds on Multivariate Option Prices | |
| dc.type | text |