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Sharp Upper and Lower Bounds for Basket Options

Citations

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Cited by:

  1. Laurence, Peter & Wang, Tai-Ho, 2009. "Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 35-47, February.
  2. Mathias Beiglbock & Pierre Henry-Labord`ere & Friedrich Penkner, 2011. "Model-independent Bounds for Option Prices: A Mass Transport Approach," Papers 1106.5929, arXiv.org, revised Feb 2013.
  3. Arash Fahim & Yu-Jui Huang, 2014. "Model-independent Superhedging under Portfolio Constraints," Papers 1402.2599, arXiv.org, revised Jun 2015.
  4. Didier Henrion & Felix Kirschner & Etienne De Klerk & Milan Korda & Jean-Bernard Lasserre & Victor Magron, 2023. "Revisiting Semidefinite Programming Approaches to Options Pricing: Complexity and Computational Perspectives," INFORMS Journal on Computing, INFORMS, vol. 35(2), pages 335-349, March.
  5. Nabil Kahalé, 2017. "Superreplication of Financial Derivatives via Convex Programming," Management Science, INFORMS, vol. 63(7), pages 2323-2339, July.
  6. 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.
  7. Jinke Zhou & Xiaolu Wang, 2008. "Accurate closed‐form approximation for pricing Asian and basket options," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 24(4), pages 343-358, July.
  8. Mathias Beiglböck & Pierre Henry-Labordère & Friedrich Penkner, 2013. "Model-independent bounds for option prices—a mass transport approach," Finance and Stochastics, Springer, vol. 17(3), pages 477-501, July.
  9. Ruggero Caldana & Gianluca Fusai & Alessandro Gnoatto & Martino Grasselli, 2016. "General closed-form basket option pricing bounds," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 535-554, April.
  10. Arash Fahim & Yu-Jui Huang, 2016. "Model-independent superhedging under portfolio constraints," Finance and Stochastics, Springer, vol. 20(1), pages 51-81, January.
  11. Luca De Gennaro Aquino & Carole Bernard, 2019. "Bounds on Multi-asset Derivatives via Neural Networks," Papers 1911.05523, arXiv.org, revised Nov 2020.
  12. Pierre Henry-Labordere & Nizar Touzi, 2013. "An Explicit Martingale Version of Brenier's Theorem," Working Papers hal-00790001, HAL.
  13. Qiaoming Han & Donglei Du & Luis F. Zuluaga, 2014. "Technical Note---A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula," Operations Research, INFORMS, vol. 62(3), pages 535-542, June.
  14. Leccadito, Arturo & Paletta, Tommaso & Tunaru, Radu, 2016. "Pricing and hedging basket options with exact moment matching," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 59-69.
  15. Zuluaga, Luis F. & Peña, Javier & Du, Donglei, 2009. "Third-order extensions of Lo's semiparametric bound for European call options," European Journal of Operational Research, Elsevier, vol. 198(2), pages 557-570, October.
  16. J. A. Primbs, 2010. "SDP Relaxation of Arbitrage Pricing Bounds Based on Option Prices and Moments," Journal of Optimization Theory and Applications, Springer, vol. 144(1), pages 137-155, January.
  17. Arash Fahim & Yu-Jui Huang, 2016. "Model-independent superhedging under portfolio constraints," Finance and Stochastics, Springer, vol. 20(1), pages 51-81, January.
  18. Tavin, Bertrand, 2015. "Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 158-178.
  19. 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.
  20. Pierre Henry-Labordère & Nizar Touzi, 2016. "An explicit martingale version of the one-dimensional Brenier theorem," Finance and Stochastics, Springer, vol. 20(3), pages 635-668, July.
  21. D. J. Manuge & P. T. Kim, 2014. "A fast Fourier transform method for Mellin-type option pricing," Papers 1403.3756, arXiv.org, revised Mar 2014.
  22. Pierre Henry-Labordere & Nizar Touzi, 2013. "An Explicit Martingale Version of Brenier's Theorem," Papers 1302.4854, arXiv.org, revised Apr 2013.
  23. Arash Fahim & Yu-Jui Huang & Saeed Khalili, 2019. "Generalized Duality for Model-Free Superhedging given Marginals," Papers 1909.06036, arXiv.org, revised Sep 2019.
  24. Chaoubi, Ihsan & Cossette, Hélène & Gadoury, Simon-Pierre & Marceau, Etienne, 2020. "On sums of two counter-monotonic risks," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 47-60.
  25. Kirschner, Felix, 2023. "Conic optimization with applications in finance and approximation theory," Other publications TiSEM e9bef4a5-ee46-45be-90d7-9, Tilburg University, School of Economics and Management.
  26. Peter Laurence & Tai-Ho Wang, 2008. "Distribution-free upper bounds for spread options and market-implied antimonotonicity gap," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 717-734.
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