Decreasing Absolute Risk Aversion and Option Pricing Bounds

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

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

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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 (9)

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

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