DARA and DRRA option bounds from concurrently expiring options

Huang, J (2004) DARA and DRRA option bounds from concurrently expiring options. Working Paper. The Department of Accounting and Finance, Lancaster University.

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Abstract

In this paper we derive option bounds from concurrently expiring options assuming the representative investor has decreasing absolute {relative} risk aversion. We show that given the prices of the underlying stock and n concurrently expiring options, the DARA {DRRA} option bound is given by a representative investor who has piecewise constant absolute {relative} risk aversion. We also derive option bounds from concurrently expiring option prices assuming the representative investor has decreasing and bounded absolute {relative} risk aversion.

Item Type: Monograph (Working Paper)
Uncontrolled Keywords: /dk/atira/pure/subjectarea/aacsb/disciplinebasedresearch
Subjects:
Departments: Lancaster University Management School > Accounting & Finance
ID Code: 48745
Deposited By: ep_importer_pure
Deposited On: 11 Jul 2011 21:10
Refereed?: No
Published?: Published
Last Modified: 10 Jun 2019 20:02
URI: https://eprints.lancs.ac.uk/id/eprint/48745

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