Gain-Loss Option Price Bounds in Discrete time
博士 === 國立臺灣大學 === 財務金融學研究所 === 100 === The purpose of this paper is to investigate the approximated arbitrage bounds of option prices in the discrete time and incomplete market setting. The gain-loss ratio method of Bernardo and Ledoit (2000) is employed but market-implied risk-neutral distribution...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/78090563457003202657 |