Static Arbitrage Bounds on Basket Option Price

A. d'Aspremont and Laurent El Ghaoui

EECS Department, University of California, Berkeley

Technical Report No. UCB/ERL M02/33

2002

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http://www2.eecs.berkeley.edu/Pubs/TechRpts/2002/Archive/ERL-02-33.pdf

BibTeX citation:

@techreport{d'Aspremont:M02/33,
    Author= {d'Aspremont, A. and El Ghaoui, Laurent},
    Title= {Static Arbitrage Bounds on Basket Option Price},
    Year= {2002},
    Month= {Nov},
    Url= {http://www2.eecs.berkeley.edu/Pubs/TechRpts/2002/4024.html},
    Number= {UCB/ERL M02/33},
}

EndNote citation:

%0 Report
%A d'Aspremont, 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://www2.eecs.berkeley.edu/Pubs/TechRpts/2002/4024.html
%F d'Aspremont:M02/33