Option Bounds with Finite Revision Opportunities
将单期线性规划期权价格边界推广到有限次修订机会，在不完全市场中用修正的二项式期权定价模型推导边界，并在更严格假设下得到更紧的边界。
ABSTRACT This article generalizes the single‐period linear‐programming bounds on option prices by allowing for a finite number of revision opportunities. It is shown that, in an incomplete market, the bounds on option prices can be derived using a modified binomial option‐pricing model. Tighter bounds are developed under more restrictive assumptions on probabilities and risk aversion. For this case the upper bounds are shown to coincide with the upper bounds derived by Perrakis, while the lower bounds are shown to be tighter.