On the Equality of Two Lower Bounds on the Call Price: A Note

Kanwal Sachdeva

Journal of Financial and Quantitative Analysis, 1986, vol. 21, issue 2, 235-237

Abstract: This note shows that, appearances to the contrary, the lower bounds on the price of a call option obtained by Levy and by Ritchken are identical, and that this common bound is never inferior to the lower bound obtained by Perrakis and Ryan.

Date: 1986
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