  We compare static arbitrage price bounds on basket calls, i.e. bounds that
only involve buy-and-hold trading strategies, with the price range obtained
within a multi-variate generalization of the Black-Scholes model. While there
is no gap between these two sets of prices in the univariate case, we observe
here that contrary to our intuition about model risk for at-the-money calls,
there is a somewhat large gap between model prices and static arbitrage prices,
hence a similarly large set of prices on which a multivariate Black-Scholes
model cannot be calibrated but where no conclusion can be drawn on the presence
or not of a static arbitrage opportunity.
