Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads
Year of publication: |
2012
|
---|---|
Authors: | Peña, Javier ; Vera, Juan C. ; Zuluaga, Luis F. |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 222.2012, 2 (16.10.), p. 369-376
|
Subject: | Geld-Brief-Spanne | Bid-ask spread | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Arbitrage |
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