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Non-parametric method for European option bounds

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Author Info

  • Hsuan-Chu Lin

    ()

  • Ren-Raw Chen

    ()

  • Oded Palmon

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11156-011-0249-9
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    Bibliographic Info

    Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

    Volume (Year): 38 (2012)
    Issue (Month): 1 (January)
    Pages: 109-129

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    Handle: RePEc:kap:rqfnac:v:38:y:2012:i:1:p:109-129

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    Web page: http://springerlink.metapress.com/link.asp?id=102990

    Related research

    Keywords: Option bounds; Non-parametric; Black–Scholes model; C14; C68; G12; G13;

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997. "Empirical Performance of Alternative Option Pricing Models," Yale School of Management Working Papers ysm54, Yale School of Management.
    2. 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.
    3. Ricardo J. Rodriguez, 2003. "Option Pricing Bounds: Synthesis And Extension," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 26(2), pages 149-164.
    4. Ritchken, Peter H, 1985. " On Option Pricing Bounds," Journal of Finance, American Finance Association, vol. 40(4), pages 1219-33, September.
    5. 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 637-54, May-June.
    6. Perrakis, Stylianos & Ryan, Peter J, 1984. " Option Pricing Bounds in Discrete Time," Journal of Finance, American Finance Association, vol. 39(2), pages 519-25, June.
    7. Jun-ya Gotoh & Hiroshi Konno, 2002. "Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm," Management Science, INFORMS, vol. 48(5), pages 665-678, May.
    8. Bruce D. Grundy, . "Option Prices and the Underlying Asset's Return Distribution (Reprint 012)," Rodney L. White Center for Financial Research Working Papers 11-91, Wharton School Rodney L. White Center for Financial Research.
    9. 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.
    10. David Hobson & Peter Laurence & Tai-Ho Wang, 2005. "Static-arbitrage upper bounds for the prices of basket options," Quantitative Finance, Taylor & Francis Journals, vol. 5(4), pages 329-342.
    11. Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 1997. " Empirical Performance of Alternative Option Pricing Models," Journal of Finance, American Finance Association, vol. 52(5), pages 2003-49, December.
    12. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
    13. Rüdiger Frey & Carlos A. Sin, 1999. "Bounds on European Option Prices under Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 9(2), pages 97-116.
    14. Grundy, Bruce D, 1991. " Option Prices and the Underlying Asset's Return Distribution," Journal of Finance, American Finance Association, vol. 46(3), pages 1045-69, July.
    15. Grundy, R.D., 1991. "Option Prices and the Underlying Asset's Return Distribution," Weiss Center Working Papers 11-91, Wharton School - Weiss Center for International Financial Research.
    16. Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997. "Empirical Performance of Alternative Option Pricing Models," Yale School of Management Working Papers ysm65, Yale School of Management.
    17. Antonella Basso & Paolo Pianca, 1997. "Decreasing Absolute Risk Aversion and Option Pricing Bounds," Management Science, INFORMS, vol. 43(2), pages 206-216, February.
    18. Louis O. Scott, 1997. "Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 413-426.
    19. 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.
    20. Ritchken, Peter H & Kuo, Shyanjaw, 1988. " Option Bounds with Finite Revision Opportunities," Journal of Finance, American Finance Association, vol. 43(2), pages 301-08, June.
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