On Option Pricing Bounds
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Bibliographic InfoArticle provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 40 (1985)
Issue (Month): 4 (September)
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- John Handley, 2005. "On the Upper Bound of a Call Option," Review of Derivatives Research, Springer, vol. 8(2), pages 85-95, August.
- Bizid, Abdelhamid & Jouini, Elyès, 2005.
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- Valeriy Ryabchenko & Sergey Sarykalin & Stan Uryasev, 2004. "Pricing European Options by Numerical Replication: Quadratic Programming with Constraints," Asia-Pacific Financial Markets, Springer, vol. 11(3), pages 301-333, September.
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05-06, Center of Finance and Econometrics, University of Konstanz.
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8867, National Bureau of Economic Research, Inc.
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- Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2010.
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- Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009. "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CREATES Research Papers 2009-33, School of Economics and Management, University of Aarhus.
- Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009. "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CIRANO Working Papers 2009s-32, CIRANO.
- Basso, A. & Pianca, P., 2001. "Option pricing bounds with standard risk aversion preferences," European Journal of Operational Research, Elsevier, vol. 134(2), pages 249-260, October.
- Lupu, Radu, 2006. "Option bounds for multinomial stock returns in Jump-Diffusion processes - a Monte Carlo simulation for a multi-jump process," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 3(2), pages 58-71, June.
- Chung, San-Lin & Wang, Yaw-Huei, 2008. "Bounds and prices of currency cross-rate options," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 631-642, May.
- Boyle, Phelim P. & Lin, X. Sheldon, 1997. "Bounds on contingent claims based on several assets," Journal of Financial Economics, Elsevier, vol. 46(3), pages 383-400, December.
- Ryan, Peter J., 2003. "Progressive option bounds from the sequence of concurrently expiring options," European Journal of Operational Research, Elsevier, vol. 151(1), pages 193-223, November.
- Hsuan-Chu Lin & Ren-Raw Chen & Oded Palmon, 2012. "Non-parametric method for European option bounds," Review of Quantitative Finance and Accounting, Springer, vol. 38(1), pages 109-129, January.
- Perrakis, Stylianos & Boloorforoosh, Ali, 2013. "Valuing catastrophe derivatives under limited diversification: A stochastic dominance approach," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3157-3168.
- Peter Ryan, 2000. "Tighter Option Bounds from Multiple Exercise Prices," Review of Derivatives Research, Springer, vol. 4(2), pages 155-188, May.
- Hauser, Schmuel & Levy, Azriel, 1996. "Pricing of foreign exchange options with transaction costs: The choice of trading interval," International Review of Financial Analysis, Elsevier, vol. 5(2), pages 145-160.
- Nicole Branger & Antje Mahayni, 2011. "Tractable hedging with additional hedge instruments," Review of Derivatives Research, Springer, vol. 14(1), pages 85-114, April.
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