DARA and DRRA Option Bounds from Concurrently Expiring Options
نویسندگان
چکیده
منابع مشابه
Progressive option bounds from the sequence of concurrently expiring options
The set of option pricing bounds determined by the observed prices of the underlying security and a riskless bond is improved by the sequential addition of observations of the prices of other options on the same security with concurrent expiry. Each market-traded asset which can be functionally linked to the initial option imposes constraints on the set of state discount factors that serve to p...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.622702