关于看涨期权价格两个下界相等性的注记

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

Journal of Financial and Quantitative Analysis · 1986
被引 10
人大 AFT50ABS 4

中文导读

这篇注记证明了Levy和Ritchken分别得到的看涨期权价格下界实际上是相同的,并且这个共同下界不劣于Perrakis和Ryan得到的下界。

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.

看涨期权下限Levy下界Ritchken下界