An Extension of Good-Deal Asset Price Bounds
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Abstract
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Note: The previous version of this working paper had the title "A New Approach to the Derivation of Asset Price Bounds".
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Cited by:
- HENROTTE, Philippe, 2002. "Pricing kernels and dynamic portfolios," HEC Research Papers Series 768, HEC Paris.
- Zuluaga, Luis F. & Peña, Javier & Du, Donglei, 2009. "Third-order extensions of Lo's semiparametric bound for European call options," European Journal of Operational Research, Elsevier, vol. 198(2), pages 557-570, October.
- Klöppel Susanne & Schweizer Martin, 2007. "Dynamic utility-based good deal bounds," Statistics & Risk Modeling, De Gruyter, vol. 25(4), pages 285-309, October.
More about this item
Keywords
generalized good-deal bounds; L1-norm methods;JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2001-06-08 (Finance)
- NEP-FMK-2001-06-08 (Financial Markets)
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