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On Option Pricing Bounds

Citations

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Cited by:

  1. Laurence, Peter & Wang, Tai-Ho, 2009. "Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 35-47, February.
  2. Perrakis, Stylianos, 1989. "Les contributions de la théorie financière à la solution de problèmes en organisation industrielle et en microéconomie appliquée," L'Actualité Economique, Société Canadienne de Science Economique, vol. 65(4), pages 518-546, décembre.
  3. Chung, San-Lin & Wang, Yaw-Huei, 2008. "Bounds and prices of currency cross-rate options," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 631-642, May.
  4. Elyes Jouini, 2020. "Equilibrium pricing and market completion: a counterexample," Economics Bulletin, AccessEcon, vol. 40(3), pages 1963-1969.
  5. George M. Constantinides & Michal Czerwonko & Stylianos Perrakis, 2020. "Mispriced index option portfolios," Financial Management, Financial Management Association International, vol. 49(2), pages 297-330, June.
  6. Siddiqi, Hammad, 2015. "Anchoring Heuristic in Option Pricing," Risk and Sustainable Management Group Working Papers 207677, University of Queensland, School of Economics.
  7. Mariya Naumova & András Prékopa, 2021. "Bounding the values of financial derivatives by the use of the moment problem," Annals of Operations Research, Springer, vol. 305(1), pages 211-225, October.
  8. 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, vol. 26(7-8), pages 1323-1352, July.
  9. Zuluaga, Luis F. & Peña, Javier & Du, Donglei, 2009. "Third-order extensions of Lo's semiparametric bound for European call options," European Journal of Operational Research, Elsevier, vol. 198(2), pages 557-570, October.
  10. Jun-ya Gotoh & Yoshitsugu Yamamoto & Weifeng Yao, 2011. "Bounding Contingent Claim Prices via Hedging Strategy with Coherent Risk Measures," Journal of Optimization Theory and Applications, Springer, vol. 151(3), pages 613-632, December.
  11. Roy H. Kwon & Jonathan Y. Li, 2016. "A stochastic semidefinite programming approach for bounds on option pricing under regime switching," Annals of Operations Research, Springer, vol. 237(1), pages 41-75, February.
  12. Brendan K. Beare & Juwon Seo, 2022. "Stochastic arbitrage with market index options," Papers 2207.00949, arXiv.org, revised Jul 2022.
  13. Lupu, Radu, 2006. "Option bounds for multinomial stock returns in Jump-Diffusion processes - a Monte Carlo simulation for a multi-jump process," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 3(2), pages 58-71, June.
  14. Bhargava, Vivek & Brooks, Robert, 2002. "Exploration of the role of expectations in foreign exchange risk management," Journal of Multinational Financial Management, Elsevier, vol. 12(2), pages 171-189, April.
  15. Almeida, Caio & Freire, Gustavo, 2022. "Pricing of index options in incomplete markets," Journal of Financial Economics, Elsevier, vol. 144(1), pages 174-205.
  16. Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2010. "Option Valuation with Conditional Heteroskedasticity and Nonnormality," The Review of Financial Studies, Society for Financial Studies, vol. 23(5), pages 2139-2183.
  17. Vishal Gaur & Sridhar Seshadri & Marti G. Subrahmanyam, 2011. "Securitization and Real Investment in Incomplete Markets," Management Science, INFORMS, vol. 57(12), pages 2180-2196, December.
  18. Hamed Ghanbari & Michael Oancea & Stylianos Perrakis, 2021. "Shedding light on a dark matter: Jump diffusion and option‐implied investor preferences," European Financial Management, European Financial Management Association, vol. 27(2), pages 244-286, March.
  19. Elyes Jouini, 2020. "Equilibrium pricing and market completion: a counterexample," PSE-Ecole d'économie de Paris (Postprint) halshs-03048797, HAL.
  20. Hammad Siddiqi & Sajid Anwar, 2020. "The Pricing Kernel Puzzle: A Real Phenomenon or a Statistical Artifact?," International Review of Finance, International Review of Finance Ltd., vol. 20(2), pages 485-491, June.
  21. Valeriy Ryabchenko & Sergey Sarykalin & Stan Uryasev, 2004. "Pricing European Options by Numerical Replication: Quadratic Programming with Constraints," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(3), pages 301-333, September.
  22. John Handley, 2005. "On the Upper Bound of a Call Option," Review of Derivatives Research, Springer, vol. 8(2), pages 85-95, August.
  23. Hauser, Schmuel & Levy, Azriel, 1996. "Pricing of foreign exchange options with transaction costs: The choice of trading interval," International Review of Financial Analysis, Elsevier, vol. 5(2), pages 145-160.
  24. John H. Cochrane & Jesus Saa-Requejo, 2000. "Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete Markets," Journal of Political Economy, University of Chicago Press, vol. 108(1), pages 79-119, February.
  25. 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.
  26. Siddiqi, Hammad, 2014. "Anchoring Heuristic in Option Prices," MPRA Paper 66018, University Library of Munich, Germany, revised 15 Jul 2015.
  27. Roy Kwon & Jonathan Li, 2016. "A stochastic semidefinite programming approach for bounds on option pricing under regime switching," Annals of Operations Research, Springer, vol. 237(1), pages 41-75, February.
  28. Kenneth O. Cogger, 2010. "Nonlinear multiple regression methods: a survey and extensions," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 17(1), pages 19-39, January.
  29. Stylianos Perrakis & Ali Boloorforoosh, 2018. "Catastrophe futures and reinsurance contracts: An incomplete markets approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 104-128, January.
  30. Boyle, Phelim P. & Lin, X. Sheldon, 1997. "Bounds on contingent claims based on several assets," Journal of Financial Economics, Elsevier, vol. 46(3), pages 383-400, December.
  31. Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2005. "Option pricing: Real and risk-neutral distributions," CoFE Discussion Papers 05/06, University of Konstanz, Center of Finance and Econometrics (CoFE).
  32. Peter Ryan, 2000. "Tighter Option Bounds from Multiple Exercise Prices," Review of Derivatives Research, Springer, vol. 4(2), pages 155-188, May.
  33. Bizid, Abdelhamid & Jouini, Elyès, 2005. "Equilibrium Pricing in Incomplete Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(4), pages 833-848, December.
  34. John Board & Charles Sutcliffe & William T. Ziemba, 2003. "Applying Operations Research Techniques to Financial Markets," Interfaces, INFORMS, vol. 33(2), pages 12-24, April.
  35. Braouezec, Yann & Grunspan, Cyril, 2016. "A new elementary geometric approach to option pricing bounds in discrete time models," European Journal of Operational Research, Elsevier, vol. 249(1), pages 270-280.
  36. Stylianos Perrakis, 2022. "From innovation to obfuscation: continuous time finance fifty years later," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(3), pages 369-401, September.
  37. Thierry Post & Iňaki Rodríguez Longarela, 2021. "Risk Arbitrage Opportunities for Stock Index Options," Operations Research, INFORMS, vol. 69(1), pages 100-113, January.
  38. Ryan, Peter J., 2003. "Progressive option bounds from the sequence of concurrently expiring options," European Journal of Operational Research, Elsevier, vol. 151(1), pages 193-223, November.
  39. Basso, A. & Pianca, P., 2001. "Option pricing bounds with standard risk aversion preferences," European Journal of Operational Research, Elsevier, vol. 134(2), pages 249-260, October.
  40. Siddiqi, Hammad, 2015. "Anchoring and Adjustment Heuristic in Option Pricing," MPRA Paper 68595, University Library of Munich, Germany.
  41. Hsuan-Chu Lin & Ren-Raw Chen & Oded Palmon, 2012. "Non-parametric method for European option bounds," Review of Quantitative Finance and Accounting, Springer, vol. 38(1), pages 109-129, January.
  42. repec:dau:papers:123456789/30 is not listed on IDEAS
  43. 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.
  44. Longarela, Iñaki R. & Mayoral, Silvia, 2015. "Quote inefficiency in options markets," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 23-36.
  45. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  46. Peter Laurence & Tai-Ho Wang, 2008. "Distribution-free upper bounds for spread options and market-implied antimonotonicity gap," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 717-734.
  47. Nicole Branger & Antje Mahayni, 2011. "Tractable hedging with additional hedge instruments," Review of Derivatives Research, Springer, vol. 14(1), pages 85-114, April.
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