Minimum option prices under decreasing absolute risk aversion

DOI10.1023/A:1009602426513MaRDI QIDQ375481zbMATH OpenOpenAlexFDO

Authors Kamlesh Mathur, Peter Ritchken

Publication date 30 October 2013

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

Full work available at URL https://doi.org/10.1023/a:1009602426513

zbMATH Keywords

option pricing boundspricing with preference restrictions

Mathematics Subject Classification ID

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

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Cited in

(6)

• On Stochastic Dominance and Decreasing Absolute Risk Averse Option Pricing Bounds
• Decreasing Absolute Risk Aversion and Option Pricing Bounds
• Option pricing bounds with standard risk aversion preferences
• Option pricing bounds and the elasticity of the pricing kernel
• Total risk aversion and the pricing of options
• On the upper bound of a call option

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