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ArticleBounds on contingent claims based on several assets

Phelim P. Boyle1997

Article1997

Bounds on contingent claims based on several assets

Phelim P. Boyle

65 citations·0/0 files stored·Journal of Financial Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1973The Pricing of Options and Corporate Liabilities 2005Theory of rational option pricing 1982Options on the minimum or the maximum of two risky assets 1987Options on the Maximum or the Minimum of Several Assets 1994The Valuation of Commodity Contingent Claims 1985Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach 1985On Option Pricing Bounds 1984Option Pricing Bounds in Discrete Time

Cited by

2006PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS 2005Sharp Upper and Lower Bounds for Basket Options 1998Double barrier hitting time distributions with applications to exotic options 2007Managing a Portfolio of Real Options 2008EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS 2009Static-arbitrage lower bounds on the prices of basket options via linear programming

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1987Semi-parametric upper bounds for option prices and expected payoffsarticle · 5 shared references 1999Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferencesarticle · 5 shared references 1995Numerical Valuation of High Dimensional Multivariate European Securitiesarticle · 5 shared references 2007Stochastic Dominance Bounds on American Option Prices in Markets with Frictionsarticle · 5 shared references 1997Decreasing Absolute Risk Aversion and Option Pricing Boundsarticle · 5 shared references 1995Numerical Valuation of High Dimensional Multivariate American Securitiesarticle · 4 shared references

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Year1997

Typearticle

Published1997-12-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations65

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0304-405x(97)00035-4

openalex_workW2085737469

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2002

Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm