Static arbitrage bounds on basket option prices

• 成果类型: Article
• 署名作者: d'Aspremont, A; El Ghaoui, L
• 署名单位: Princeton University; University of California System; University of California Berkeley
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-005-0642-z
• 发表日期: 2006
• 页码: 467-489
• 关键词: CONTINGENT CLAIMS

摘要

We consider the problem of computing upper and lower bounds on the price of an European basket call option, given prices on other similar options. Although this problem is hard to solve exactly in the general case, we show that in some instances the upper and lower bounds can be computed via simple closed-form expressions, or linear programs. We also introduce an efficient linear programming relaxation of the general problem based on an integral transform interpretation of the call price function. We show that this relaxation is tight in some of the special cases examined before.