scientific article; zbMATH DE number 1069632

zbMATH Open0898.90016MaRDI QIDQ4356596FDOQ4356596

Authors: Claude G. Henin, Nathalie Pistre 

Publication date: 12 October 1998

Title of this publication is not available (Why is that?)

Recommendations

• Equilibrium pricing bounds on option prices
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• Bounds on European option prices under stochastic volatility
• Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs.

zbMATH Keywords

European optionsboundsbearish market bullishoptions priceunderlying asset

Mathematics Subject Classification ID

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

Cited In (3)

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

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