Option bounds and the pricing of the volatility smile

DOI10.1023/A:1009624428252zbMath1274.91427MaRDI QIDQ375316

Mohammad Hasan, H. S. Yoon

Publication date: 29 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

incomplete marketsvolatility smileindex option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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On the upper bound of a call option

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