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

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  • Javier Pena
  • Juan Vera
  • Luis Zuluaga

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  • Javier Pena & Juan Vera & Luis Zuluaga, 2010. "Static-arbitrage lower bounds on the prices of basket options via linear programming," Quantitative Finance, Taylor & Francis Journals, vol. 10(8), pages 819-827.
    • Handle: RePEc:taf:quantf:v:10:y:2010:i:8:p:819-827
    DOI: 10.1080/14697680902956703
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    References listed on IDEAS

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    1. David Hobson & Peter Laurence & Tai-Ho Wang, 2005. "Static-arbitrage upper bounds for the prices of basket options," Quantitative Finance, Taylor & Francis Journals, vol. 5(4), pages 329-342.
    2. Alexandre d'Aspremont & Laurent El Ghaoui, 2003. "Static Arbitrage Bounds on Basket Option Prices," Papers math/0302243, arXiv.org, revised Oct 2005.
    3. Hobson, David & Laurence, Peter & Wang, Tai-Ho, 2005. "Static-arbitrage optimal subreplicating strategies for basket options," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 553-572, December.
    4. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-186, March.
    5. Lo, Andrew W., 1987. "Semi-parametric upper bounds for option prices and expected payoffs," Journal of Financial Economics, Elsevier, vol. 19(2), pages 373-387, December.
    6. Luis F. Zuluaga & Javier F. Peña, 2005. "A Conic Programming Approach to Generalized Tchebycheff Inequalities," Mathematics of Operations Research, INFORMS, vol. 30(2), pages 369-388, May.
    7. Peter Laurence & Tai-Ho Wang, 2005. "Sharp Upper and Lower Bounds for Basket Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(3), pages 253-282.
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    Citations

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    Cited by:

    1. Villegas, Andrés M. & Medaglia, Andrés L. & Zuluaga, Luis F., 2012. "Computing bounds on the expected payoff of Alternative Risk Transfer products," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 271-281.
    2. Papapantoleon Antonis & Sarmiento Paulo Yanez, 2021. "Detection of arbitrage opportunities in multi-asset derivatives markets," Dependence Modeling, De Gruyter, vol. 9(1), pages 439-459, January.
    3. M. A. Goberna & M. A. López, 2017. "Recent contributions to linear semi-infinite optimization," 4OR, Springer, vol. 15(3), pages 221-264, September.
    4. M. A. Goberna & M. A. López, 2018. "Recent contributions to linear semi-infinite optimization: an update," Annals of Operations Research, Springer, vol. 271(1), pages 237-278, December.
    5. Luca De Gennaro Aquino & Carole Bernard, 2019. "Bounds on Multi-asset Derivatives via Neural Networks," Papers 1911.05523, arXiv.org, revised Nov 2020.
    6. Ariel Neufeld & Antonis Papapantoleon & Qikun Xiang, 2020. "Model-free bounds for multi-asset options using option-implied information and their exact computation," Papers 2006.14288, arXiv.org, revised Jan 2022.
    7. Miguel Goberna, 2012. "Comments on: Stability in linear optimization and related topics. A personal tour," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(2), pages 245-249, July.
    8. Peña, Javier & Vera, Juan C. & Zuluaga, Luis F., 2012. "Computing arbitrage upper bounds on basket options in the presence of bid–ask spreads," European Journal of Operational Research, Elsevier, vol. 222(2), pages 369-376.

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