An Extension of Good-Deal Asset Price Bounds
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- HENROTTE, Philippe, 2002. "Pricing kernels and dynamic portfolios," Les Cahiers de Recherche 768, HEC Paris.
- 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.
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Keywordsgeneralized good-deal bounds; L1-norm methods;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2001-06-08 (All new papers)
- NEP-FIN-2001-06-08 (Finance)
- NEP-FMK-2001-06-08 (Financial Markets)
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