scientific article; zbMATH DE number 1069632

MaRDI QIDQ4356596zbMATH OpenFDO

Authors Claude G. Henin, Nathalie Pistre

Publication date 12 October 1998

zbMATH Keywords

European optionsboundsbearish market bullishoptions priceunderlying asset

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• Equilibrium pricing bounds on option prices
• On Stochastic Dominance and Decreasing Absolute Risk Averse Option Pricing Bounds
• Stochastic Dominance Bounds on American Option Prices in Markets with Frictions
• Bounds on European option prices under stochastic volatility
• Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs.

Cited in

(3)

• On Stochastic Dominance and Decreasing Absolute Risk Averse Option Pricing Bounds
• Option pricing bounds with standard risk aversion preferences
• Equilibrium pricing bounds on option prices

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