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Static-arbitrage lower bounds on the prices of basket options via linear programming |
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| Authors: | Javier Peña Juan C. Vera Luis F. Zuluaga |
| Affiliation: | 1. Tepper School of Business , Carnegie Mellon University , 5000 Forbes Avenue, Pittsburgh, PA 15213, USA jfp@andrew.cmu.edu;3. School of Computer Science , Georgia Institute of Technology , Atlanta, GA, USA;4. Faculty of Business Administration , University of New Brunswick , Fredericton, New Brunswick, Canada |
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