Progressive option bounds from the sequence of concurrently expiring options.
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Publication:1406968
DOI10.1016/S0377-2217(02)00598-2zbMath1033.90063MaRDI QIDQ1406968
Publication date: 7 September 2003
Published in: European Journal of Operational Research (Search for Journal in Brave)
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Cites Work
- The Pricing of Options and Corporate Liabilities
- Tighter option bounds from multiple exercise prices
- Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs.
- On Stochastic Dominance and Decreasing Absolute Risk Averse Option Pricing Bounds
- Option pricing: A simplified approach
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