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

Research output: Working paper

Published

### Standard

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

@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",

}

### RIS

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 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 -