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Option Bounds in Discrete Time: Extensions and the Pricing of the American Put

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  • Perrakis, Stylianos

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Bibliographic Info

Article provided by University of Chicago Press in its journal Journal of Business.

Volume (Year): 59 (1986)
Issue (Month): 1 (January)
Pages: 119-41

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Handle: RePEc:ucp:jnlbus:v:59:y:1986:i:1:p:119-41

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Web page: http://www.journals.uchicago.edu/JB/

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Cited by:
  1. Elyès Jouini & Abdelhamid Bizid, 2003. "Equilibrium Pricing in Incomplete Markets," Finance, EconWPA 0312004, EconWPA.
  2. Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009. "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CREATES Research Papers 2009-33, School of Economics and Management, University of Aarhus.
  3. Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1518, Cowles Foundation for Research in Economics, Yale University.
  4. Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2007. "Option Pricing: Real and Risk-Neutral Distributions," MPRA Paper 11637, University Library of Munich, Germany.
  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, Elsevier, vol. 26(7-8), pages 1323-1352, July.
  6. Perrakis, Stylianos & Boloorforoosh, Ali, 2013. "Valuing catastrophe derivatives under limited diversification: A stochastic dominance approach," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(8), pages 3157-3168.
  7. Napp, Clotilde & Jouini, Elyès, 2003. "Comonotonic Processes," Economics Papers from University Paris Dauphine 123456789/343, Paris Dauphine University.
  8. Peter Ryan, 2000. "Tighter Option Bounds from Multiple Exercise Prices," Review of Derivatives Research, Springer, Springer, vol. 4(2), pages 155-188, May.
  9. Donald Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Yale School of Management Working Papers, Yale School of Management amz2581, Yale School of Management, revised 01 Jul 2005.

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