On Option Pricing Bounds
比较了单期模型中Perrakis和Ryan的期权价格边界与线性规划推导的期权边界，发现上边界相同但下边界不同，并与Merton边界及Black-Scholes价格进行了对比。
ABSTRACT The purpose of this article is to compare the Perrakis and Ryan bounds of option prices in a single‐period model with option bounds derived using linear programming. It is shown that the upper bounds are identical but that the lower bounds are different. A comparison of these bounds, together with Merton's bounds and the Black‐Scholes prices in a lognormal securities market, is presented.