Decreasing Absolute Risk Aversion and Option Pricing Bounds

DOI10.1287/mnsc.43.2.206zbMath0888.90012OpenAlexW2143333945MaRDI QIDQ4367207

Antonella Basso, Paolo Pianca

Publication date: 25 November 1997

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.43.2.206

zbMATH Keywords

stochastic dominancedecreasing absolute risk aversionefficient boundsprice of a call option

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

On the relative efficiency of nth order and DARA stochastic dominance rules ⋮ Standard stochastic dominance ⋮ Bounding contingent claim prices via hedging strategy with coherent risk measures ⋮ Higher-degree stochastic dominance optimality and efficiency ⋮ Option pricing bounds with standard risk aversion preferences

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