Progressive option bounds from the sequence of concurrently expiring options
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 151 (2003)
Issue (Month): 1 (November)
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NBER Working Papers
8867, National Bureau of Economic Research, Inc.
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CoFE Discussion Paper
05-06, Center of Finance and Econometrics, University of Konstanz.
- Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2007. "Option Pricing: Real and Risk-Neutral Distributions," MPRA Paper 11637, University Library of Munich, Germany.
- 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.
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