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Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads.

Javier PeñaJuan Carlos VeraLuis F. Zuluaga
Published in: Eur. J. Oper. Res. (2012)
Keyphrases
  • upper bound
  • lower bound
  • upper and lower bounds
  • lower and upper bounds
  • neural network
  • learning algorithm
  • sample size
  • tight upper and lower bounds