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math.OC2003★ 1 cited
A Harmonic Analysis Solution to the Static Basket Arbitrage Problem
Alexandre d'Aspremont
We consider the problem of computing upper and lower bounds on the price of a European basket call option, given prices on other similar baskets. We focus here on an interpretation…
math.OC2003★ 1 cited
A Semidefinite Representation for some Minimum Cardinality Problems
Alexandre d'Aspremont
Using techniques developed in [Lasserre02], we show that some minimum cardinality problems subject to linear inequalities can be represented as finite sequences of semidefinite pro…