Computing general static-arbitrage bounds for European basket options via Dantzig-Wolfe decomposition

Javier Peña, Xavier Saynac, Juan Carlos Vera, Luis Fernando Zuluaga. Computing general static-arbitrage bounds for European basket options via Dantzig-Wolfe decomposition. Algorithmic Operations Research, 5(2):65-74, 2010. [doi]

Abstract

Abstract is missing.