Computing arbitrage upper bounds on basket options in the presence of bid–ask spreads
| Year of publication: |
2012
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|---|---|
| Authors: | Peña, Javier ; Vera, Juan C. ; Zuluaga, Luis F. |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 2430034. - Vol. 222.2012, 2 (16.10.), p. 369-377
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