Static Arbitrage Bounds on Basket Option Price
A. dAspremont and Laurent El Ghaoui
EECS Department
University of California, Berkeley
Technical Report No. UCB/ERL M02/33
2002
BibTeX citation:
@techreport{dAspremont:M02/33,
Author = {dAspremont, A. and El Ghaoui, Laurent},
Title = {Static Arbitrage Bounds on Basket Option Price},
Institution = {EECS Department, University of California, Berkeley},
Year = {2002},
URL = {http://www.eecs.berkeley.edu/Pubs/TechRpts/2002/4024.html},
Number = {UCB/ERL M02/33}
}
EndNote citation:
%0 Report %A dAspremont, A. %A El Ghaoui, Laurent %T Static Arbitrage Bounds on Basket Option Price %I EECS Department, University of California, Berkeley %D 2002 %@ UCB/ERL M02/33 %U http://www.eecs.berkeley.edu/Pubs/TechRpts/2002/4024.html %F dAspremont:M02/33