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...
FS
2006
13 years 7 months ago
2006
Abstract. We consider a bank having several trading desks, each of which trades a different class of contingent claims with each desk using a different model. We assume that the mo...
AAIM
2005
Springer
14 years 27 days ago
2005
Springer
Abstract. In this paper we study the computational problem of arbitrage in a frictional market with a finite number of bonds and finite and discrete times to maturity. Types of f...