On Stochastic Dominance and Decreasing Absolute Risk Averse Option Pricing Bounds

DOI10.1287/MNSC.35.1.51zbMath0667.90008OpenAlexW2076786489MaRDI QIDQ3820324

Shyanjaw Kuo, Peter H. Ritchken

Publication date: 1989

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.35.1.51

zbMATH Keywords

financecontingent claimsoption pricing boundsfirst and second stochastic dominance preferences

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Linear programming (90C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Progressive option bounds from the sequence of concurrently expiring options. ⋮ Bounding contingent claim prices via hedging strategy with coherent risk measures ⋮ Equilibrium pricing bounds on option prices ⋮ Option pricing bounds with standard risk aversion preferences ⋮ Risk Arbitrage Opportunities for Stock Index Options ⋮ Comparison of probability measures: Dominance of the third degree

This page was built for publication: On Stochastic Dominance and Decreasing Absolute Risk Averse Option Pricing Bounds