Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach
运用随机占优规则，在无风险利率借贷条件下，为所有无约束效用函数和凹效用函数推导出期权价格的上界和下界，适用于任何具有非负贝塔的股票价格分布，并易于纳入交易成本和税收。
ABSTRACT Applying stochastic dominance rules with borrowing and lending at the risk‐free interest rate, we derive upper and lower values for an option price for all unconstrained utility functions and alternatively for concave utility functions. The derivation of these bounds is quite general and fits any kind of stock price distribution as long as it is characterized by a “nonnegative beta.” Transaction costs and taxes can be easily incorporated in the model presented here since investors are not required to revise their portfolios continuously. The “price” that is paid for this generalization is that a range of values rather than a unique value is obtained.