Minimum option prices under decreasing absolute risk aversion

DOI10.1023/A:1009602426513zbMATH Open1274.91428OpenAlexW1510682165MaRDI QIDQ375481FDOQ375481

Peter Ritchken, Kamlesh Mathur

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

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zbMATH Keywords

option pricing boundspricing with preference restrictions

Mathematics Subject Classification ID

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

Cited In (4)

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

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