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| Author: | Rodriguez, R.J. |
| Title: | Option pricing bounds: synthesis and extension |
| Journal: | Journal of Financial Research
2003 : SUMMER, VOL. 26:2, p. 149-164 |
| Index terms: | Call options Option prices |
| Language: | eng |
| Abstract: | Previous research has obtained the main option pricing bounds originally through various disparate methods. It is shown that those bounds can be derived from a single analytical framework. The key to this synthesis lies in the use of general expression for the price of a call option depending on the corresponding put option's discount factor. Although the put's discount factor is unknown, it can be bounded from below. This lower bound is used in this study on the put's discount factor to derive traditional lower bounds for call prices. |
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