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DARA and DRRA option bounds from concurrently expiring options

Research output: Working paper

Published

Standard

DARA and DRRA option bounds from concurrently expiring options. / 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 'DARA and DRRA option bounds from concurrently expiring options' Accounting and Finance Working Paper Series, The Department of Accounting and Finance, Lancaster University.

APA

Huang, J. (2004). DARA and DRRA option bounds from concurrently expiring options. (Accounting and Finance Working Paper Series). The Department of Accounting and Finance.

Vancouver

Huang J. DARA and DRRA option bounds from concurrently expiring options. Lancaster University: The Department of Accounting and Finance. 2004. (Accounting and Finance Working Paper Series).

Author

Huang, J. / DARA and DRRA option bounds from concurrently expiring options. Lancaster University : The Department of Accounting and Finance, 2004. (Accounting and Finance Working Paper Series).

Bibtex

@techreport{ce2235d0d16f4ecd8f4675a5e94146eb,
title = "DARA and DRRA option bounds from concurrently expiring options",
abstract = "In this paper we derive option bounds from concurrently expiring options assuming the representative investor has decreasing absolute {relative} risk aversion. We show that given the prices of the underlying stock and n concurrently expiring options, the DARA {DRRA} option bound is given by a representative investor who has piecewise constant absolute {relative} risk aversion. We also derive option bounds from concurrently expiring option prices assuming the representative investor has decreasing and bounded absolute {relative} risk aversion.",
keywords = "Option bounds, option pricing, DARA, DRRA",
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 - DARA and DRRA option bounds from concurrently expiring options

AU - Huang, J

PY - 2004

Y1 - 2004

N2 - In this paper we derive option bounds from concurrently expiring options assuming the representative investor has decreasing absolute {relative} risk aversion. We show that given the prices of the underlying stock and n concurrently expiring options, the DARA {DRRA} option bound is given by a representative investor who has piecewise constant absolute {relative} risk aversion. We also derive option bounds from concurrently expiring option prices assuming the representative investor has decreasing and bounded absolute {relative} risk aversion.

AB - In this paper we derive option bounds from concurrently expiring options assuming the representative investor has decreasing absolute {relative} risk aversion. We show that given the prices of the underlying stock and n concurrently expiring options, the DARA {DRRA} option bound is given by a representative investor who has piecewise constant absolute {relative} risk aversion. We also derive option bounds from concurrently expiring option prices assuming the representative investor has decreasing and bounded absolute {relative} risk aversion.

KW - Option bounds

KW - option pricing

KW - DARA

KW - DRRA

M3 - Working paper

T3 - Accounting and Finance Working Paper Series

BT - DARA and DRRA option bounds from concurrently expiring options

PB - The Department of Accounting and Finance

CY - Lancaster University

ER -