ON STOCHASTIC-DOMINANCE AND DECREASING ABSOLUTE RISK AVERSE OPTION PRICING BOUNDS

被引：14

作者：

RITCHKEN, P ^{[1
]}

KUO, S ^{[1
]}

机构：

[1] CASE WESTERN RESERVE UNIV,WEATHERHEAD SCH MANAGEMENT,CLEVELAND,OH 44106

来源：

MANAGEMENT SCIENCE | 1989年 / 35卷 / 01期

关键词：

D O I：

10.1287/mnsc.35.1.51

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

引用

页码：51 / 59

页数：9

共 12 条

[1]

[Anonymous], 1985, RECENT ADV CORPORATE

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[4] OPTION PRICING - SIMPLIFIED APPROACH [J].

COX, JC ;

ROSS, SA ;

RUBINSTEIN, M .

JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (03) :229-263

[5]

LEVY H, 1985, J FINANC, V40, P1197

[6] OPTION BOUNDS IN DISCRETE-TIME - EXTENSIONS AND THE PRICING OF THE AMERICAN PUT [J].

PERRAKIS, S .

JOURNAL OF BUSINESS, 1986, 59 (01) :119-141

[7] OPTION PRICING BOUNDS IN DISCRETE-TIME [J].

PERRAKIS, S ;

RYAN, PJ .

JOURNAL OF FINANCE, 1984, 39 (02) :519-525

[8]

PERRAKIS S, 1986, OPTION PRICING BOUND

[9] RISK-AVERSION IN THE SMALL AND IN THE LARGE [J].

PRATT, JW .

ECONOMETRICA, 1964, 32 (1-2) :122-136

[10] ON OPTION PRICING BOUNDS [J].

RITCHKEN, PH .

JOURNAL OF FINANCE, 1985, 40 (04) :1219-1233

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