On the upper bound of a call option

DOI10.1007/S11147-005-0381-6MaRDI QIDQ812138zbMATH OpenOpenAlexFDO

Authors John C. Handley

Publication date 23 January 2006

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

Full work available at URL https://doi.org/10.1007/s11147-005-0381-6

zbMATH Keywords

boundsarbitrageoption

Mathematics Subject Classification ID

Recommendations

• An upper bound on the value of an infinite American call option on two assets
• Upper Bounds for American Options
• An upper bound on the value of an infinite American call option on difference and sum of two assets
• Consistent upper price bounds for exotic options
• On the optimal exercise boundary for an American put option
• A lower bound on the value of an infinite American call option on two assets
• Analysis of the free boundary for the pricing of an American call option
• Martingales and upper bounds for American-style options
• CALIBRATED OPTION BOUNDS
• COMPUTING BOUNDS ON RISK-NEUTRAL DISTRIBUTIONS FROM THE OBSERVED PRICES OF CALL OPTIONS

Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Bounds on derivative prices in an intertemporal setting with proportional transaction costs and multiple securities
• Minimum option prices under decreasing absolute risk aversion
• Option bounds and the pricing of the volatility smile
• Option pricing bounds and the elasticity of the pricing kernel
• Tighter option bounds from multiple exercise prices

Cited in

(3)

• The non-optimality of the over-the-counter options dividend protection
• OPTIONS WRITTEN ON STOCKS WITH KNOWN DIVIDENDS
• Upper Bounds for American Options

This page was built for publication: On the upper bound of a call option

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q812138)