Option Pricing Bounds: Synthesis And Extension

Ricardo J. Rodriguez

Journal of Financial Research, 2003, vol. 26, issue 2, 149-164

Abstract: The main option pricing bounds in the literature were originally obtained through various disparate methods. I show that those bounds can be derived from a single analytical framework. The key to this synthesis lies in the use of a general expression for the price of a call option depending on the corresponding put option's discount factor. Although the put's discount factor is unknown, it can be bounded from below. I use this lower bound on the put's discount factor to derive traditional lower bounds for call prices. In addition, I extend the literature by finding a new tighter lower bound.

Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://doi.org/10.1111/1475-6803.00051

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfnres:v:26:y:2003:i:2:p:149-164

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-2592

Access Statistics for this article

Journal of Financial Research is currently edited by Jayant Kale and Gerald Gay

More articles in Journal of Financial Research from Southern Finance Association Contact information at EDIRC., Southwestern Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().