Decreasing Absolute Risk Aversion and Option Pricing Bounds
From MaRDI portal
Publication:4367207
DOI10.1287/mnsc.43.2.206zbMath0888.90012MaRDI QIDQ4367207
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
90C90: Applications of mathematical programming
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
On the relative efficiency of nth order and DARA stochastic dominance rules, Option pricing bounds with standard risk aversion preferences, Standard stochastic dominance, Bounding contingent claim prices via hedging strategy with coherent risk measures, Higher-degree stochastic dominance optimality and efficiency