全球智库信息集成服务系统(G2TT): Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w8867
来源ID	Working Paper 8867
	Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs
	George M. Constantinides; Stylianos Perrakis
发表日期	2002-03-28
出版年	2002
语种	英语
摘要	By applying stochastic dominance arguments, upper bounds on the reservation write price of European calls and puts and lower bounds on the reservation purchase price of these derivatives are derived in the presence of proportional transaction costs incurred in trading the underlying security. The primary contribution is the derivation of bounds when intermediate trading in the underlying security is allowed over the life of the option. A tight upper bound is derived on the reservation write price of a call and a tight lower bound is derived on the reservation purchase price of a put. These results jointly impose tight upper and lower bounds on the implied volatility.
主题	Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w8867
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/566474
推荐引用方式 GB/T 7714	George M. Constantinides,Stylianos Perrakis. Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs. 2002.