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ArticleMinimum option prices under decreasing absolute risk aversion

Kamlesh Mathur1999

Article1999

Minimum option prices under decreasing absolute risk aversion

Kamlesh Mathur · Peter H. Ritchken

23 citations·0/0 files stored·Review of Derivatives Research

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Stochastic processes and financial applications Financial Markets and Investment Strategies Decision-Making and Behavioral Economics

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1964Risk Aversion in the Small and in the Large 1976Risk Aversion in the Small and in the Large 1976The Valuation of Uncertain Income Streams and the Pricing of Options 1979The Pricing of Contingent Claims in Discrete Time Models 1999Pricing Options under Generalized GARCH and Stochastic Volatility Processes

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1997Decreasing Absolute Risk Aversion and Option Pricing Boundsarticle · 8 shared references 2009Option Valuation with Conditional Heteroskedasticity and Nonnormalityarticle · 7 shared references 2007Stochastic Dominance Bounds on American Option Prices in Markets with Frictionsarticle · 7 shared references 1987Semi-parametric upper bounds for option prices and expected payoffsarticle · 6 shared references 1989On Stochastic Dominance and Decreasing Absolute Risk Averse Option Pricing Boundsarticle · 6 shared references 2004A GARCH option pricing model with α-stable innovationsarticle · 6 shared references

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Year1999

Typearticle

Published1999-05-01

VenueReview of Derivatives Research

ISSN-L1380-6645

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1009602426513

openalex_workW1510682165

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