Bounds on call option values
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Option Price - Upper and Lower Bounds
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Call options , Stock prices , Stock options , Investors , Finance , Put options , Return on investment , Financial portfolios , Investment value , Investment risk. Were these topics helpful? These topics are helpful. These topics are not helpful. Select the topics that are inaccurate.
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Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach on JSTOR
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Options Arbitrage
Custom alerts when new content is added. Subscribe to JPASS Monthly Plan. Abstract Applying stochastic dominance rules with borrowing and lending at the risk-free interest rate, we derive upper and lower values for an option price for all unconstrained utility functions and alternatively for concave utility functions. The derivation of these bounds is quite general and fits any kind of stock price distribution as long as it is characterized by a "nonnegative beta.
The "price" that is paid for this generalization is that a range of values rather than a unique value is obtained. JSTOR Home About Search Browse Terms and Conditions Privacy Policy Cookies Accessibility Help Contact Us. Loading Processing your request How does it work?