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Progressive option bounds from the sequence of concurrently expiring options

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  • Ryan, Peter J.

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  • 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.
    • Handle: RePEc:eee:ejores:v:151:y:2003:i:1:p:193-223
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    References listed on IDEAS

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    1. Ritchken, Peter H & Kuo, Shyanjaw, 1988. " Option Bounds with Finite Revision Opportunities," Journal of Finance, American Finance Association, vol. 43(2), pages 301-308, June.
    2. John H. Cochrane & Jesus Saa-Requejo, 2000. "Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete Markets," Journal of Political Economy, University of Chicago Press, vol. 108(1), pages 79-119, February.
    3. Edirisinghe, Chanaka & Naik, Vasanttilak & Uppal, Raman, 1993. "Optimal Replication of Options with Transactions Costs and Trading Restrictions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(1), pages 117-138, March.
    4. Peter Ryan, 2000. "Tighter Option Bounds from Multiple Exercise Prices," Review of Derivatives Research, Springer, vol. 4(2), pages 155-188, May.
    5. Constantinides, George M. & Perrakis, Stylianos, 2002. "Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1323-1352, July.
    6. Levy, Haim, 1985. "Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach," Journal of Finance, American Finance Association, vol. 40(4), pages 1197-1217, September.
    7. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    8. Perrakis, Stylianos & Ryan, Peter J, 1984. "Option Pricing Bounds in Discrete Time," Journal of Finance, American Finance Association, vol. 39(2), pages 519-525, June.
    9. Garman, Mark B., 1976. "An algebra for evaluating hedge portfolios," Journal of Financial Economics, Elsevier, vol. 3(4), pages 403-427, October.
    10. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    11. Ritchken, Peter H, 1985. "On Option Pricing Bounds," Journal of Finance, American Finance Association, vol. 40(4), pages 1219-1233, September.
    12. Lo, Andrew W., 1987. "Semi-parametric upper bounds for option prices and expected payoffs," Journal of Financial Economics, Elsevier, vol. 19(2), pages 373-387, December.
    13. Peter Ritchken & Shyanjaw Kuo, 1989. "On Stochastic Dominance and Decreasing Absolute Risk Averse Option Pricing Bounds," Management Science, INFORMS, vol. 35(1), pages 51-59, January.
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    Cited by:

    1. Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2005. "Option pricing: Real and risk-neutral distributions," CoFE Discussion Papers 05/06, University of Konstanz, Center of Finance and Econometrics (CoFE).
    2. 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.
    3. George M. Constantinides & Jens Carsten Jackwerth & Stylianos Perrakis, 2009. "Mispricing of S&P 500 Index Options," The Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 1247-1277, March.

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