Research output: Working paper

Published

**Option bounds from concurrently expiring options when relative risk aversion is bounded.** / Huang, J.

Research output: Working paper

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.

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.

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).

@techreport{b60cbd98605c4ca99229ab915a084e42,

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",

}

TY - UNPB

T1 - Option bounds from concurrently expiring options when relative risk aversion is bounded

AU - Huang, J

PY - 2004

Y1 - 2004

N2 - In this paper we derive option bounds from concurrently expiring option prices assuming the (pricing) representative investorâ€™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 investorâ€™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 -