IDEAS home Printed from https://ideas.repec.org/a/spr/jecfin/v35y2011i3p274-295.html
   My bibliography  Save this article

Minimax price bounds in incomplete markets

Author

Listed:
  • Unyong Pyo

Abstract

No abstract is available for this item.

Suggested Citation

  • Unyong Pyo, 2011. "Minimax price bounds in incomplete markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 35(3), pages 274-295, July.
    • Handle: RePEc:spr:jecfin:v:35:y:2011:i:3:p:274-295
    DOI: 10.1007/s12197-009-9108-0
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s12197-009-9108-0
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s12197-009-9108-0?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. John H. Cochrane & Jesus Saa-Requejo, 2000. "Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete Markets," Journal of Political Economy, University of Chicago Press, vol. 108(1), pages 79-119, February.
    2. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    3. Mark Rubinstein, 1976. "The Valuation of Uncertain Income Streams and the Pricing of Options," Bell Journal of Economics, The RAND Corporation, vol. 7(2), pages 407-425, Autumn.
    4. James Huang, 2004. "Option Pricing Bounds and the Elasticity of the Pricing Kernel," Review of Derivatives Research, Springer, vol. 7(1), pages 25-51.
    5. Jeremy Staum, 2004. "Fundamental Theorems of Asset Pricing for Good Deal Bounds," Mathematical Finance, Wiley Blackwell, vol. 14(2), pages 141-161, April.
    6. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    7. Brennan, M J, 1979. "The Pricing of Contingent Claims in Discrete Time Models," Journal of Finance, American Finance Association, vol. 34(1), pages 53-68, March.
    8. Basso, A. & Pianca, P., 2001. "Option pricing bounds with standard risk aversion preferences," European Journal of Operational Research, Elsevier, vol. 134(2), pages 249-260, October.
    9. Antonio E. Bernardo & Olivier Ledoit, 2000. "Gain, Loss, and Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 108(1), pages 144-172, February.
    10. Michael Magill & Martine Quinzii (ed.), 2008. "Incomplete Markets," Books, Edward Elgar Publishing, volume 0, number 4204.
    11. LeRoy,Stephen F. & Werner,Jan, 2014. "Principles of Financial Economics," Cambridge Books, Cambridge University Press, number 9781107024120, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chen, Jun-Home & Huang, Yu-Lieh & Chang, Jow-Ran, 2017. "Robust Good-Deal Bounds In Incomplete Markets: The Case Of Taiwan," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 58(1), pages 53-67, June.
    2. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2009. "Demand-Based Option Pricing," The Review of Financial Studies, Society for Financial Studies, vol. 22(10), pages 4259-4299, October.
    2. Ibáñez, Alfredo, 2008. "Factorization of European and American option prices under complete and incomplete markets," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 311-325, February.
    3. Carr, Peter & Geman, Helyette & Madan, Dilip B., 2001. "Pricing and hedging in incomplete markets," Journal of Financial Economics, Elsevier, vol. 62(1), pages 131-167, October.
    4. Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2010. "Option Valuation with Conditional Heteroskedasticity and Nonnormality," The Review of Financial Studies, Society for Financial Studies, vol. 23(5), pages 2139-2183.
    5. Guenter Franke & James Huang & Richard Stapleton, 2006. "Two-dimensional risk-neutral valuation relationships for the pricing of options," Review of Derivatives Research, Springer, vol. 9(3), pages 213-237, November.
    6. Antonio E. Bernardo & Olivier Ledoit, 2000. "Gain, Loss, and Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 108(1), pages 144-172, February.
    7. Wayne King Ming Chan, 2015. "RAROC-Based Contingent Claim Valuation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2015, January-A.
    8. Wayne King Ming Chan, 2015. "RAROC-Based Contingent Claim Valuation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 21, July-Dece.
    9. Maria Arduca & Cosimo Munari, 2020. "Fundamental theorem of asset pricing with acceptable risk in markets with frictions," Papers 2012.08351, arXiv.org, revised Apr 2022.
    10. Alfredo Ibáñez, 2005. "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Computing in Economics and Finance 2005 216, Society for Computational Economics.
    11. Maria Arduca & Cosimo Munari, 2023. "Fundamental theorem of asset pricing with acceptable risk in markets with frictions," Finance and Stochastics, Springer, vol. 27(3), pages 831-862, July.
    12. Ibáñez, Alfredo, 2005. "Option-pricing in incomplete markets: the hedging portfolio plus a risk premium-based recursive approach," DEE - Working Papers. Business Economics. WB wb058121, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    13. Mustafa Pınar, 2011. "Gain–loss based convex risk limits in discrete-time trading," Computational Management Science, Springer, vol. 8(3), pages 299-321, August.
    14. René Garcia & Richard Luger & Eric Renault, 2000. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Working Papers 2000-57, Center for Research in Economics and Statistics.
    15. Ait-Sahalia, Yacine & Lo, Andrew W., 2000. "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 9-51.
    16. Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2013. "Option pricing with discrete time jump processes," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2417-2445.
    17. Menn, Christian & Rachev, Svetlozar T., 2005. "A GARCH option pricing model with [alpha]-stable innovations," European Journal of Operational Research, Elsevier, vol. 163(1), pages 201-209, May.
    18. Bakshi, Gurdip S. & Zhiwu, Chen, 1997. "An alternative valuation model for contingent claims," Journal of Financial Economics, Elsevier, vol. 44(1), pages 123-165, April.
    19. Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," PSE-Ecole d'économie de Paris (Postprint) halshs-00368336, HAL.
    20. Dominique Guegan & Jing Zang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 777-795.

    More about this item

    Keywords

    Incomplete Markets; Unbiased Minimax Bounds; Good-deal Bounds; Gain-loss Bounds; G12; D52;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:jecfin:v:35:y:2011:i:3:p:274-295. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.