Static Arbitrage Bounds on Basket Option Prices

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dc.creatord'Aspremont, Alexandre
dc.creatorGhaoui, Laurent El
dc.date2003-02-19
dc.date2005-10-05
dc.date.accessioned2026-07-07T12:11:08Z
dc.date.available2026-07-07T12:11:08Z
dc.descriptionWe consider the problem of computing upper and lower bounds on the price of a European basket call option, given prices on other similar baskets. Although this problem is very hard to solve exactly in the general case, we show that in some instances the upper and lower bounds can be computed via simple closed-form expressions, or linear programs. We also introduce an efficient linear programming relaxation of the general problem based on an integral transform interpretation of the call price function. We show that this relaxation is tight in some of the special cases examined before.
dc.descriptionTo Appear in Mathematical Programming, Series A
dc.identifierhttps://arxiv.org/abs/math/0302243
dc.identifierhttp://arxiv.org/abs/math/0302243
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210130
dc.subjectOptimization and Control
dc.subjectProbability
dc.subjectStatistical Finance
dc.subject44A12; 44A60; 90C05; 90C34; 91B28
dc.titleStatic Arbitrage Bounds on Basket Option Prices
dc.typetext

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