Option pricing bounds with standard risk aversion preferences

DOI10.1016/S0377-2217(00)00259-9zbMath1017.91035OpenAlexW2072806193MaRDI QIDQ5945848

Paolo Pianca, Antonella Basso

Publication date: 29 January 2002

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(00)00259-9

zbMATH Keywords

optimizationoption pricingfinancestochastic dominance

Mathematics Subject Classification ID

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

Related Items (2)

Equilibrium pricing bounds on option prices ⋮ Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?

Cites Work

• Unnamed Item
• On Stochastic Dominance and Decreasing Absolute Risk Averse Option Pricing Bounds
• Decreasing Absolute Risk Aversion and Option Pricing Bounds

This page was built for publication: Option pricing bounds with standard risk aversion preferences