Decreasing Absolute Risk Aversion and Option Pricing Bounds

DOI10.1287/MNSC.43.2.206zbMATH Open0888.90012OpenAlexW2143333945MaRDI QIDQ4367207FDOQ4367207

Antonella Basso, P. Pianca

Publication date: 25 November 1997

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

Full work available at URL: https://doi.org/10.1287/mnsc.43.2.206

zbMATH Keywords

stochastic dominancedecreasing absolute risk aversionefficient boundsprice of a call option

Mathematics Subject Classification ID

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

Cited In (7)

• Higher-degree stochastic dominance optimality and efficiency
• Bounding contingent claim prices via hedging strategy with coherent risk measures
• Convex and decreasing absolute risk aversion is proper
• Decreasing Risk Aversion and Mean-Variance Analysis
• Standard stochastic dominance
• On the relative efficiency of nth order and DARA stochastic dominance rules
• Option pricing bounds with standard risk aversion preferences

   Recommendations

• On Stochastic Dominance and Decreasing Absolute Risk Averse Option Pricing Bounds 👍 👎
• Minimum option prices under decreasing absolute risk aversion 👍 👎
• Option pricing bounds with standard risk aversion preferences 👍 👎
• Option pricing bounds and the elasticity of the pricing kernel 👍 👎
• On the relative efficiency of nth order and DARA stochastic dominance rules 👍 👎

This page was built for publication: Decreasing Absolute Risk Aversion and Option Pricing Bounds

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4367207)