Progressive option bounds from the sequence of concurrently expiring options.

DOI10.1016/S0377-2217(02)00598-2zbMATH Open1033.90063MaRDI QIDQ1406968FDOQ1406968

Authors: Peter J. Ryan 

Publication date: 7 September 2003

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

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zbMATH Keywords

Linear programmingFinanceArbitrage pricingOptions pricing

Mathematics Subject Classification ID

Linear programming (90C05) Marketing, advertising (90B60)

Cites Work

• The pricing of options and corporate liabilities
• Option pricing: A simplified approach
• Tighter option bounds from multiple exercise prices
• On Stochastic Dominance and Decreasing Absolute Risk Averse Option Pricing Bounds
• Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs.

Cited In (1)

• Tighter option bounds from multiple exercise prices

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