"Static arbitrage bounds on basket option prices."

Alexandre d'Aspremont, Laurent El Ghaoui (2006)

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DOI: 10.1007/S10107-005-0642-Z

access: closed

type: Journal Article

metadata version: 2017-05-27

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Alexandre d'Aspremont, Laurent El Ghaoui:
Static arbitrage bounds on basket option prices. Math. Program. 106(3): 467-489 (2006)

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