Option Pricing Bounds: Synthesis And Extension
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DOI: 10.1111/1475-6803.00051
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Cited by:
- Donald Brown & Rustam Ibragimov & Johan Walden, 2015. "Bounds for path-dependent options," Annals of Finance, Springer, vol. 11(3), pages 433-451, November.
- Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation for Research in Economics, Yale University.
- Wong, Man Hong & Zhang, Shuzhong, 2013. "Computing best bounds for nonlinear risk measures with partial information," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 204-212.
- Donald Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Yale School of Management Working Papers amz2581, Yale School of Management, revised 01 Jul 2005.
- Schepper, Ann De & Heijnen, Bart, 2007. "Distribution-free option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 179-199, March.
- Hsuan-Chu Lin & Ren-Raw Chen & Oded Palmon, 2012. "Non-parametric method for European option bounds," Review of Quantitative Finance and Accounting, Springer, vol. 38(1), pages 109-129, January.
- Donald Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Yale School of Management Working Papers amz2581, Yale School of Management, revised 01 Jul 2005.
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