2 search results - page 1 / 1 » Pricing and hedging Asian basket spread options |
JCAM
2010
13 years 2 months ago
2010
Asian options, basket options and spread options have been extensively studied in literature. However, few papers deal with the problem of pricing general Asian basket spread opti...
AOR
2010
13 years 4 months ago
2010
We study the problem of computing general static-arbitrage bounds for European basket options; that is, computing bounds on the price of a basket option, given the only assumption...