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Static-arbitrage lower bounds on the prices of basket options via linear programming

Pena,J.
; 
Vera,J.C.
; 
Zuluaga,L.F.
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2010
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Tilburg University Research Output Collection
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Pena, J, Vera, J C & Zuluaga, L F 2010, 'Static-arbitrage lower bounds on the prices of basket options via linear programming', Quantitative Finance, vol. 10, no. 8, pp. 819-827.
URI
https://hdl.handle.net/20.500.14602/54111
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info:eu-repo/semantics/restrictedAccess
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