Tighter option bounds from multiple exercise prices

DOI10.1023/A:1009642309978zbMATH Open1274.91442OpenAlexW1491782037MaRDI QIDQ375326FDOQ375326

Authors: Peter J. Ryan 

Publication date: 29 October 2013

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

Full work available at URL: https://doi.org/10.1023/a:1009642309978

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zbMATH Keywords

linear programmingoption pricingarbitragecontingent pricingoption bounds

Mathematics Subject Classification ID

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

Cited In (7)

• Tighter bounds for implied volatility
• Tractable hedging with additional hedge instruments
• Sharp Upper and Lower Bounds for Basket Options
• Progressive option bounds from the sequence of concurrently expiring options.
• Two-dimensional risk-neutral valuation relationships for the pricing of options
• Alternative methods for determining option bounds: a review and comparison
• On the upper bound of a call option

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