Decreasing Absolute Risk Aversion and Option Pricing Bounds

DOI10.1287/MNSC.43.2.206MaRDI QIDQ4367207zbMATHOpenAlexFDO

Authors 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)

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Cited in

(9)

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

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