Progressive option bounds from the sequence of concurrently expiring options
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- Edirisinghe, Chanaka & Naik, Vasanttilak & Uppal, Raman, 1993. "Optimal Replication of Options with Transactions Costs and Trading Restrictions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(01), pages 117-138, March.
- 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.
- Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
- 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.
- Ritchken, Peter H, 1985. " On Option Pricing Bounds," Journal of Finance, American Finance Association, vol. 40(4), pages 1219-33, September.
- 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.
- 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.
- 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.
- 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.
- 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.
- Peter Ryan, 2000. "Tighter Option Bounds from Multiple Exercise Prices," Review of Derivatives Research, Springer, vol. 4(2), pages 155-188, May.
- 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.
- Garman, Mark B., 1976. "An algebra for evaluating hedge portfolios," Journal of Financial Economics, Elsevier, vol. 3(4), pages 403-427, October.
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