{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,7,3]],"date-time":"2024-07-03T11:15:45Z","timestamp":1720005345946},"reference-count":18,"publisher":"Springer Science and Business Media LLC","issue":"3","license":[{"start":{"date-parts":[[2005,10,12]],"date-time":"2005-10-12T00:00:00Z","timestamp":1129075200000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Math. Program."],"published-print":{"date-parts":[[2006,5]]},"DOI":"10.1007\/s10107-005-0642-z","type":"journal-article","created":{"date-parts":[[2005,10,12]],"date-time":"2005-10-12T15:10:17Z","timestamp":1129129817000},"page":"467-489","source":"Crossref","is-referenced-by-count":42,"title":["Static arbitrage bounds on basket option prices"],"prefix":"10.1007","volume":"106","author":[{"given":"Alexandre","family":"d'Aspremont","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Laurent El","family":"Ghaoui","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2005,10,12]]},"reference":[{"key":"642_CR1","doi-asserted-by":"crossref","first-page":"621","DOI":"10.1086\/296025","volume":"51","author":"Breeden","year":"4","unstructured":"Breeden, D.T., Litzenberger, R.H.: Price of state-contingent claims implicit in option prices. Journal of Business 51 (4), 621\u2013651 (1978)","journal-title":"Journal of Business"},{"key":"642_CR2","doi-asserted-by":"crossref","unstructured":"Brigo, D., Mercurio, F.: Interest rate models, theory and practice. Springer Finance, 2001","DOI":"10.1007\/978-3-662-04553-4"},{"key":"642_CR3","doi-asserted-by":"crossref","first-page":"358","DOI":"10.1287\/opre.50.2.358.424","volume":"50","author":"Bertsimas","year":"2","unstructured":"Bertsimas, D., Popescu, I.: On the relation between option and stock prices: a convex optimization approach. Operations Research 50 (2), 358\u2013374 (2002)","journal-title":"Operations Research"},{"key":"642_CR4","doi-asserted-by":"crossref","first-page":"637","DOI":"10.1086\/260062","volume":"81","author":"Black","year":"1973","unstructured":"Black, F., Scholes, M.: The pricing of options and corporate liabilities. Journal of Political Economy 81, 637\u2013659 (1973)","journal-title":"Journal of Political Economy"},{"key":"642_CR5","doi-asserted-by":"crossref","unstructured":"Boyd, S., Vandenberghe, L.: Convex optimization. Cambridge University Press, 2004","DOI":"10.1017\/CBO9780511804441"},{"key":"642_CR6","doi-asserted-by":"crossref","first-page":"183","DOI":"10.1080\/1350486032000141002","volume":"10","author":"d'Aspremont","year":"3","unstructured":"d'Aspremont, A.: Interest rate model calibration using semidefinite programming. Applied Mathematical Finance 10 (3), 183\u2013213 (2003)","journal-title":"Applied Mathematical Finance"},{"key":"642_CR7","unstructured":"Duffie, D.: Dynamic asset pricing theory. 2nd ed., Princeton University Press, Princeton, N.J., 1996"},{"key":"642_CR8","first-page":"851","volume":"313","author":"Karoui","year":"1991","unstructured":"El Karoui, N., Quenez, M.C.: Programmation dynamique et \u00e9valuation des actifs contingents en march\u00e9s incomplets. Comptes Rendus de l'Acad\u00e9mie des Sciences de Paris, S\u00e9rie I 313, 851\u2013854 (1991)","journal-title":"Comptes Rendus de l'Acad\u00e9mie des Sciences de Paris, S\u00e9rie I"},{"key":"642_CR9","doi-asserted-by":"crossref","first-page":"29","DOI":"10.1137\/S0363012992232579","volume":"33","author":"Karoui","year":"1995","unstructured":"El Karoui, N., Quenez, M.C.: Dynamic programming and pricing of contingent claims in an incomplete market. SIAM Journal of Control and Optimization 33, 29\u201366 (1995)","journal-title":"SIAM Journal of Control and Optimization"},{"key":"642_CR10","doi-asserted-by":"crossref","unstructured":"Helgason, S.: The Radon transform. 2nd ed., Birkhauser, Boston, 1999 Progress in mathematics (Boston, Mass.) ; vol. 5","DOI":"10.1007\/978-1-4757-1463-0"},{"key":"642_CR11","doi-asserted-by":"crossref","first-page":"380","DOI":"10.1137\/1035089","volume":"35","author":"Hettich","year":"3","unstructured":"Hettich, R., Kortanek, K.O.: Semi-infinite programming: Theory, methods and applications. SIAM Review 35 (3), 380\u2013429 (1993)","journal-title":"SIAM Review"},{"key":"642_CR12","doi-asserted-by":"crossref","unstructured":"Hobson, D., Laurence, P., Wang, T.H.: Static arbitrage upper bounds for the prices of basket option. Working paper (2004)","DOI":"10.1080\/14697680500151392"},{"key":"642_CR13","first-page":"189","volume":"81","author":"Henkin","year":"1990","unstructured":"Henkin, G., Shananin, A.: Bernstein theorems and Radon transform, application to the theory of production functions. American Mathematical Society: Translation of mathematical monographs 81, 189\u2013223 (1990)","journal-title":"American Mathematical Society: Translation of mathematical monographs"},{"key":"642_CR14","doi-asserted-by":"crossref","unstructured":"Karatzas, I., Shreve, S.E.: Methods of mathematical finance. Applications of mathematics, vol. 39, Springer, New York, 1998","DOI":"10.1007\/b98840"},{"key":"642_CR15","unstructured":"Laurent, J.P., Leisen, D.: Building a consistent pricing model from observed option prices. In: Quantitative Analysis in Financial Markets Avellaneda, M. (ed.) World Scientific Publishing, 2000"},{"key":"642_CR16","doi-asserted-by":"crossref","unstructured":"Laurence P., Wang, T.H.: Sharp upper and lower bounds for basket options. To appear in Applied Mathematical Finance (2003)","DOI":"10.2139\/ssrn.578146"},{"key":"642_CR17","unstructured":"Laurence P., Wang, T.H.: What's a basket worth? Risk, 2004"},{"key":"642_CR18","unstructured":"Rebonato, R.: Interest-rate options models. Financial Engineering, Wiley, 1998"}],"container-title":["Mathematical Programming"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10107-005-0642-z.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10107-005-0642-z\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10107-005-0642-z","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,5,5]],"date-time":"2023-05-05T02:15:51Z","timestamp":1683252951000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10107-005-0642-z"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2005,10,12]]},"references-count":18,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2006,5]]}},"alternative-id":["642"],"URL":"https:\/\/doi.org\/10.1007\/s10107-005-0642-z","relation":{},"ISSN":["0025-5610","1436-4646"],"issn-type":[{"value":"0025-5610","type":"print"},{"value":"1436-4646","type":"electronic"}],"subject":[],"published":{"date-parts":[[2005,10,12]]}}}