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

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

> Home

Details and statistics

DOI: 10.1016/J.EJOR.2012.04.035

access: closed

type: Journal Article

metadata version: 2021-06-29

- view
  - electronic edition via DOI
  - unpaywalled version
  authority control:
- export record
  dblp key:
  - journals/eor/PenaVZ12
- ask others
- share record
  persistent URL:
  - 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)

manage site settings

To protect your privacy, all features that rely on external API calls from your browser are turned off by default. You need to opt-in for them to become active. All settings here will be stored as cookies with your web browser. For more information see our F.A.Q.