Option pricing bounds and the elasticity of the pricing kernel

DOI10.1023/B:REDR.0000017027.22410.E0zbMath1080.91034OpenAlexW2073397056MaRDI QIDQ704004

James Huang

Publication date: 12 January 2005

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

Full work available at URL: https://doi.org/10.1023/b:redr.0000017027.22410.e0

zbMATH Keywords

Black-Scholes formulapricing with preference restrictionselasticity of the pricing kernelOption pricing bounds

Mathematics Subject Classification ID

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

Related Items (1)

On the upper bound of a call option

This page was built for publication: Option pricing bounds and the elasticity of the pricing kernel