Bounds on European Option Prices under Stochastic Volatility

In this paper we consider the range of prices consistent with no arbitrage for European options in a general stochastic volatility model. We give conditions under which infimum respectively the supremum of the possible option prices are equal to the intrinsic value of the option or to the current price of the stock and show that these conditions are satisfied in most of the stochastic volatility models from the financial literature.

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Year of publication:	1997-06-06
Authors:	Sin, Carlos A. ; Frey, Rüdiger
Publisher:	Sonderforschungsbereich Information und die Koordination Wirtschaftlicher Aktivitäten <Bonn>
Subject:	Statistik \| Ausfallrisiko \| Wirtschaftsstatistik \| Economic statistics \| Stochastik

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Extent:	93184 bytes 13 p. application/pdf
Series:	Universität Bonn - Sonderforschungsbereich 303 Universität Bonn - Sonderforschungsbereich 303 - Discussion Papers ; 1997, B-405
Type of publication:	Book / Working Paper
Language:	English
Notes:	Afb 303 ist ein abgeschlossenes Projekt und nicht mehr über eine URL erreichbar
Classification:	G13 - Contingent Pricing; Futures Pricing ; Corporate finance and investment policy. Other aspects ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005841335