On Stochastic Dominance and Decreasing Absolute Risk Averse Option Pricing Bounds
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Publication:3820324
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
Applications of mathematical programming (90C90) Linear programming (90C05) Derivative securities (option pricing, hedging, etc.) (91G20)
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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
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