haku: @journal_id 800 / yhteensä: 148
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| Tekijä: | Zhang, P. |
| Otsikko: | Bounds for option prices and expected payoffs |
| Lehti: | Review of Quantitative Finance and Accounting
1994 : VOL. 4:2, p. 179-197 |
| Asiasana: | OPTION PRICES EXPECTATIONS PAY |
| Kieli: | eng |
| Tiivistelmä: | This article sharpens Lo's upper bounds for option prices using an alternative approach with the assumption that the underlying asset price is continuously distributed. The increased sharpness is obtained using additional information about the distribution of the underlying assets. It is shown in this article that a large portion of Lo's upper bounds is the maximum of our bounds over all possible distributions. |
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