Arbitrage Bounds on Currency Basket Options
This article exploits arbitrage valuation bounds on currency basket options. Instead of using a sophisticated model to price these options, we consider a set of pricing models that are consistent with the prices of available hedging assets. In the absence of arbitrage, we identify valuation bounds o...
I tiakina i:
| Kaituhi matua: | |
|---|---|
| Hōputu: | Artigo |
| Reo: | Inglês |
| I whakaputaina: |
MDPI AG
2020-09-01
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| Rangatū: | Mathematical and Computational Applications |
| Ngā marau: | |
| Urunga tuihono: | https://www.mdpi.com/2297-8747/25/3/60 |
| Ngā Tūtohu: |
Kāore He Tūtohu, Me noho koe te mea tuatahi ki te tūtohu i tēnei pūkete!
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