Electrical Engineering
      and Computer Sciences

Electrical Engineering and Computer Sciences

COLLEGE OF ENGINEERING

UC Berkeley

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