Results for option pricing

Publications & Outputs

1. Are we extracting the true risk neutral density from option prices? a question with no easy answer

   Huang, J., 2012, Lancaster: Lancaster University, 40 p.

   Research output: Working paper

2. Changes in risk and valuation of options: a unified approach to option pricing bounds

   Huang, J., 2012, Lancaster: Lancaster University, 37 p.

   Research output: Working paper

3. What can the option-implied risk aversion really tell us?

   Huang, J., 2012, Lancaster: Lancaster University, 36 p.

   Research output: Working paper

4. DARA and DRRA option bounds from concurrently expiring options

   Huang, J., 2004, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

   Research output: Working paper

5. Option bounds and second order arbitrage opportunities

   Huang, J., 2004, Lancaster University: The Department of Accounting and Finance, 60 p. (Accounting and Finance Working Paper Series).

   Research output: Working paper

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

   Huang, J., 2004, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

   Research output: Working paper

7. Risk neutral probabilities and option bounds: a geometric approach

   Huang, J., 2004, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

   Research output: Working paper

8. Stochastic dominance option bounds and Nth order arbitrage opportunities

   Huang, J., 2004, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

   Research output: Working paper