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A general framework for the derivation of asset price bounds: an application to stochastic volatility option models

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Author Info
Oleg Bondarenko ()
Iñaki Longarela ()
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File URL: http://hdl.handle.net/10.1007/s11147-009-9032-7
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Publisher Info
Article provided by Springer in its journal Review of Derivatives Research.

Volume (Year): 12 (2009)
Issue (Month): 2 (July)
Pages: 81-107
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Handle: RePEc:kap:revdev:v:12:y:2009:i:2:p:81-107

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Web page: http://www.springerlink.com/link.asp?id=102989

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords: Option pricing; Incomplete markets; Good-deal bounds; Benchmark stochastic discount factor; Stochastic volatility model; Continuous time; C61; G12; G13;

References listed on IDEAS
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  1. Hansen, Lars Peter & Jagannathan, Ravi, 1997. " Assessing Specification Errors in Stochastic Discount Factor Models," Journal of Finance, American Finance Association, vol. 52(2), pages 557-90, June. [Downloadable!] (restricted)
    Other versions:
  2. Hansen, Lars Peter & Jagannathan, Ravi, 1991. "Implications of Security Market Data for Models of Dynamic Economies," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 225-62, April. [Downloadable!] (restricted)
    Other versions:
  3. Stefan Jaschke & Uwe Küchler, 2001. "Coherent risk measures and good-deal bounds," Finance and Stochastics, Springer, vol. 5(2), pages 181-200. [Downloadable!] (restricted)
  4. Bjørn Eraker & Michael Johannes & Nicholas Polson, 2003. "The Impact of Jumps in Volatility and Returns," Journal of Finance, American Finance Association, vol. 58(3), pages 1269-1300, 06. [Downloadable!] (restricted)
  5. Pan, Jun, 2002. "The jump-risk premia implicit in options: evidence from an integrated time-series study," Journal of Financial Economics, Elsevier, vol. 63(1), pages 3-50, January. [Downloadable!] (restricted)
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This page was last updated on 2009-12-10.

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