IDEAS home Printed from https://ideas.repec.org/a/taf/eurjfi/v2y1996i3p239-259.html
   My bibliography  Save this article

Bounding the generalized convex call price

Author

Listed:
  • C. Henin
  • N. Pistre

Abstract

The present article introduces the concept of generalized calls (options whose value at expiry can be any function of the difference between the price of the underlying security and the striking price) and presents some of the properties of such options through the use of absence of stochastic dominance arguments. It deals with bounding relations of call premium applied to generalized options of the convex type, i.e. nonlinear convex options. These relations are obtained from the hypothesis of absence of second-order stochastic dominance between comparable strategies and without any hypothesis on the underlying security's distribution. The article presents economic justification of this method, some classical lemmas about stochastic dominance, and some bounds for convex calls.

Suggested Citation

  • C. Henin & N. Pistre, 1996. "Bounding the generalized convex call price," The European Journal of Finance, Taylor & Francis Journals, vol. 2(3), pages 239-259.
    • Handle: RePEc:taf:eurjfi:v:2:y:1996:i:3:p:239-259
    DOI: 10.1080/13518479600000007
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/13518479600000007
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13518479600000007?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. repec:fth:geneec:94.05 is not listed on IDEAS
    2. Gollier, Christian, 1993. "Portfolio Dominance, Lower Conditional Expectation And The Monotone Likelihood Ratio Order," Working Papers 014, Risk and Insurance Archive.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Machnes, Yaffa, 1995. "Deductible insurance and production," Insurance: Mathematics and Economics, Elsevier, vol. 17(2), pages 119-123, October.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:eurjfi:v:2:y:1996:i:3:p:239-259. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/REJF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.