Alexandre d Aspremont, Laurent El Ghaoui. Static arbitrage bounds on basket option prices. Math. Program., 106(3):467-489, 2006. [doi]
@article{dAspremontG06,
title = {Static arbitrage bounds on basket option prices},
author = {Alexandre d Aspremont and Laurent El Ghaoui},
year = {2006},
doi = {10.1007/s10107-005-0642-z},
url = {http://dx.doi.org/10.1007/s10107-005-0642-z},
researchr = {https://researchr.org/publication/dAspremontG06},
cites = {0},
citedby = {0},
journal = {Math. Program.},
volume = {106},
number = {3},
pages = {467-489},
}