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| Author: | Laurence, P. Wang, T. |
| Title: | What's a basket worth? |
| Journal: | Risk
2004 : FEB, VOL. 17:2, p. 73-77 |
| Index terms: | derivative securities financial markets hedging pricing stock options valuation |
| Language: | eng |
| Abstract: | This article discusses the valuation of basket options. The authors present no-arbitrage, model-independent upper and lower bounds and hedging strategies for such basket options. |
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