KING, ALAN J.; KOIVU, MATTI; PENNANEN, TEEMU - In: International Journal of Theoretical and Applied … 08 (2005) 02, pp. 141-159
This paper proposes a numerical approach for computing bounds for the arbitrage-free prices of an option when some options are available for trading. Convex duality reveals a close relationship with recently proposed calibration techniques and implied trees. Our approach is intimately related to...