An Improvement of Gain-Loss Price Bounds on Options Based on Binomial Tree and Market-Implied Risk-Neutral Distribution

An Improvement of Gain-Loss Price Bounds on Options Based on Binomial Tree and Market-Implied Risk-Neutral Distribution

This paper investigates the approximated arbitrage bounds of option prices in an incomplete market setting and draws implications for option pricing and risk management. It gives consideration to periods of global financial crisis and European sovereign debt crisis. To this end, we employ the gain-l...

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Bibliographic Details
Main Authors: Shi-jie Jiang, Mujun Lei, Cheng-Huang Chung
Format: Article
Language:English
Published: MDPI AG 2018-06-01
Series:Sustainability
Subjects:
S&amp
P 500 index options
gain-loss ratio
risk-neutral distribution
binomial tree
risk management
Online Access:http://www.mdpi.com/2071-1050/10/6/1942

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