Tighter option bounds from multiple exercise prices

DOI10.1023/A:1009642309978zbMath1274.91442OpenAlexW1491782037MaRDI QIDQ375326

Peter J. Ryan

Publication date: 29 October 2013

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

Full work available at URL: https://doi.org/10.1023/a:1009642309978

zbMATH Keywords

linear programmingoption pricingarbitragecontingent pricingoption bounds

Mathematics Subject Classification ID

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

Related Items (5)

Progressive option bounds from the sequence of concurrently expiring options. ⋮ Sharp Upper and Lower Bounds for Basket Options ⋮ Two-dimensional risk-neutral valuation relationships for the pricing of options ⋮ Tractable hedging with additional hedge instruments ⋮ On the upper bound of a call option

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