Option bounds from concurrently expiring options when relative risk aversion is bounded

Huang, J (2004) Option bounds from concurrently expiring options when relative risk aversion is bounded. 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 option prices assuming the (pricing) representative investor’s relative risk aversion is bounded. We show that given n concurrently expiring options, the option bounds are given by pricing kernels that have (n+2)-segmented piecewise constant elasticity. Closed form formulas are presented for the case where the distribution of the stock price is log-normal.

Item Type: Monograph (Working Paper)
Uncontrolled Keywords: /dk/atira/pure/subjectarea/aacsb/disciplinebasedresearch
Subjects:
Departments: Lancaster University Management School > Accounting & Finance
ID Code: 48746
Deposited By: ep_importer_pure
Deposited On: 11 Jul 2011 21:10
Refereed?: No
Published?: Published
Last Modified: 23 Jun 2019 23:46
URI: https://eprints.lancs.ac.uk/id/eprint/48746

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