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

Research output: Working paper

Published

Standard

Option bounds from concurrently expiring options when relative risk aversion is bounded. / Huang, J.
Lancaster University: The Department of Accounting and Finance, 2004. (Accounting and Finance Working Paper Series).

Research output: Working paper

Harvard

Huang, J 2004 'Option bounds from concurrently expiring options when relative risk aversion is bounded' Accounting and Finance Working Paper Series, The Department of Accounting and Finance, Lancaster University.

APA

Huang, J. (2004). Option bounds from concurrently expiring options when relative risk aversion is bounded. (Accounting and Finance Working Paper Series). The Department of Accounting and Finance.

Vancouver

Huang J. Option bounds from concurrently expiring options when relative risk aversion is bounded. Lancaster University: The Department of Accounting and Finance. 2004. (Accounting and Finance Working Paper Series).

Author

Huang, J. / Option bounds from concurrently expiring options when relative risk aversion is bounded. Lancaster University : The Department of Accounting and Finance, 2004. (Accounting and Finance Working Paper Series).

Bibtex

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title = "Option bounds from concurrently expiring options when relative risk aversion is bounded",
abstract = "In this paper we derive option bounds from concurrently expiring option prices assuming the (pricing) representative investor{\textquoteright}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.",
keywords = "Option bounds, option pricing, arbitrage pricing",
author = "J Huang",
year = "2004",
language = "English",
series = "Accounting and Finance Working Paper Series",
publisher = "The Department of Accounting and Finance",
type = "WorkingPaper",
institution = "The Department of Accounting and Finance",

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RIS

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AU - Huang, J

PY - 2004

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N2 - 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.

AB - 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.

KW - Option bounds

KW - option pricing

KW - arbitrage pricing

M3 - Working paper

T3 - Accounting and Finance Working Paper Series

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

PB - The Department of Accounting and Finance

CY - Lancaster University

ER -