This paper proposes two-step static hedging strategies for European basket options by using only plain-vanilla options on a subset of underlying assets. The basic idea is stimulated from a static super-hedging strategy dependent on the whole basket. However, it would be too complicated to handle...

In this paper we investigate the possible values of basket options. Instead of postulating a model and pricing the basket option using that model, we consider the set of all models which are consistent with the observed prices of vanilla options, and, within this class, find the model for which...

This paper proposes two-step static hedging strategies for European basket options by using only plain-vanilla options on a subset of underlying assets. The basic idea is stimulated from a static super-hedging strategy dependent on the whole basket. However, it would be too complicated to handle...