Huang, J (2004) DARA and DRRA option bounds from concurrently expiring options. Working Paper. The Department of Accounting and Finance, Lancaster University.
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:
?? option boundsoption pricingdaradrradiscipline-based research ??
Departments:
ID Code:
48745
Deposited By:
Deposited On:
11 Jul 2011 21:10
Refereed?:
No
Published?:
Published
Last Modified:
09 Aug 2024 01:16