SEMI-PARAMETRIC UPPER-BOUNDS FOR OPTION PRICES AND EXPECTED PAYOFFS

被引：65

作者：

LO, AW

机构：

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1987年 / 19卷 / 02期

关键词：

D O I：

10.1016/0304-405X(87)90010-9

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：373 / 387

页数：15

共 18 条

[1] ASSET PRICING AND THE BID ASK SPREAD [J].

AMIHUD, Y ;

MENDELSON, H .

JOURNAL OF FINANCIAL ECONOMICS, 1986, 17 (02) :223-249

[2] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].

BLACK, F ;

SCHOLES, M .

JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654

[3] VALUATION OF OPTIONS FOR ALTERNATIVE STOCHASTIC-PROCESSES [J].

COX, JC ;

ROSS, SA .

JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) :145-166

[4]

COX JC, 1985, ECONOMETRICA, V53, P365

[5] LARGE SAMPLE PROPERTIES OF GENERALIZED-METHOD OF MOMENTS ESTIMATORS [J].

HANSEN, LP .

ECONOMETRICA, 1982, 50 (04) :1029-1054

[6] GENERALIZED INSTRUMENTAL VARIABLES ESTIMATION OF NON-LINEAR RATIONAL-EXPECTATIONS MODELS [J].

HANSEN, LP ;

SINGLETON, KJ .

ECONOMETRICA, 1982, 50 (05) :1269-1286

[7] MARTINGALES AND ARBITRAGE IN MULTIPERIOD SECURITIES MARKETS [J].

HARRISON, JM ;

KREPS, DM .

JOURNAL OF ECONOMIC THEORY, 1979, 20 (03) :381-408

[8] OPTION ARBITRAGE AND STRATEGY WITH LARGE PRICE CHANGES [J].

JONES, EP .

JOURNAL OF FINANCIAL ECONOMICS, 1984, 13 (01) :91-113

[9]

LEVY H, 1985, J FINANC, V40, P1197

[10]

LO A, 1986, 2086 U PENNS RL WHIT

← 1 2 →