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