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Semi-parametric upper bounds for option prices and expected payoffs

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Author Info
Lo, Andrew W.

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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 19 (1987)
Issue (Month): 2 (December)
Pages: 373-387
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Handle: RePEc:eee:jfinec:v:19:y:1987:i:2:p:373-387

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. William R. Melick & Charles P. Thomas, 1996. "Using options prices to infer PDF'S for asset prices: an application to oil prices during the Gulf crisis," International Finance Discussion Papers 541, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  2. Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation, Yale University. [Downloadable!]
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