Computing lower bounds on basket option prices by discretizing semi-infinite linear programming

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dc.contributor.authorCho, Hyunseokko
dc.contributor.authorKim, Kyoung-Kukko
dc.contributor.authorLee, Kyungsikko
dc.date.accessioned2016-11-30T08:29:13Z-
dc.date.available2016-11-30T08:29:13Z-
dc.date.created2015-12-12-
dc.date.created2015-12-12-
dc.date.issued2016-12-
dc.identifier.citationOPTIMIZATION LETTERS, v.10, no.8, pp.1629 - 1644-
dc.identifier.issn1862-4472-
dc.identifier.urihttp://hdl.handle.net/10203/214214-
dc.description.abstractThe problem of finding static-arbitrage bounds on basket option prices has received a growing attention in the literature. In this paper, we focus on the lower bound case and propose a novel efficient solution procedure that is based on the separation problem. The computational burden of the proposed method is polynomial in the input data size. We also discuss the case of possibly negative weight vectors which can be applied to spread options.-
dc.languageEnglish-
dc.publisherSPRINGER HEIDELBERG-
dc.subjectARBITRAGE UPPER-BOUNDS-
dc.titleComputing lower bounds on basket option prices by discretizing semi-infinite linear programming-
dc.typeArticle-
dc.identifier.wosid000385413900003-
dc.identifier.scopusid2-s2.0-84950257897-
dc.type.rimsART-
dc.citation.volume10-
dc.citation.issue8-
dc.citation.beginningpage1629-
dc.citation.endingpage1644-
dc.citation.publicationnameOPTIMIZATION LETTERS-
dc.identifier.doi10.1007/s11590-015-0987-z-
dc.contributor.localauthorKim, Kyoung-Kuk-
dc.contributor.nonIdAuthorLee, Kyungsik-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorBasket option-
dc.subject.keywordAuthorLinear programming-
dc.subject.keywordAuthorStatic-arbitrage bound-
dc.subject.keywordAuthorSeparation problem-
dc.subject.keywordPlusARBITRAGE UPPER-BOUNDS-
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