Equilibrium pricing bounds on option prices
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Publication:941015
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Cites work
- A class of models satisfying a dynamical version of the CAPM
- Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
- Convergence of the equilibrium prices in a family of financial models
- On duality theory of conic linear problems.
- On Stochastic Dominance and Decreasing Absolute Risk Averse Option Pricing Bounds
- On the Relation Between Option and Stock Prices: A Convex Optimization Approach
- Optimization Problems in the Theory of Continuous Trading
- Option pricing bounds with standard risk aversion preferences
- Pricing of non-redundant derivatives in a complete market
- Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs.
Cited in
(13)- On the range of options prices
- A variational approach for pricing options and corporate bounds
- Progressive option bounds from the sequence of concurrently expiring options.
- Bounding the values of financial derivatives by the use of the moment problem
- Saddlepoint approximations to option price in a general equilibrium model
- Pricing Options With Curved Boundaries1
- scientific article; zbMATH DE number 1069632 (Why is no real title available?)
- Option bounds
- Consistent upper price bounds for exotic options
- Equilibrium open interest
- Total positivity and relative convexity of option prices
- Option pricing bounds and the elasticity of the pricing kernel
- Distribution-free option pricing
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