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...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-09-01
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| Series: | Mathematical and Computational Applications |
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| Online Access: | https://www.mdpi.com/2297-8747/25/3/60 |