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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. Napp, Clotilde & Jouini, Elyès, 2003. "Comonotonic Processes," Economics Papers from University Paris Dauphine 123456789/343, Paris Dauphine University.
  2. Jens Carsten Jackwerth & George M. Constantinaides & Stylianos Perrakis, 2005. "Option Pricing: Real and Risk-Neutral Distributions," CoFE Discussion Paper 05-06, Center of Finance and Econometrics, University of Konstanz.
  3. George M. Constantinides & Stylianos Perrakis, 2002. "Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs," NBER Working Papers 8867, National Bureau of Economic Research, Inc.
  4. Bizid, Abdelhamid & Jouini, Elyès, 2005. "Equilibrium Pricing in Incomplete Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(04), pages 833-848, December.
  5. Perrakis, Stylianos & Boloorforoosh, Ali, 2013. "Valuing catastrophe derivatives under limited diversification: A stochastic dominance approach," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3157-3168.
  6. Donald Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Yale School of Management Working Papers amz2581, Yale School of Management, revised 01 Jul 2005.
  7. 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.

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