Abstract: ABSTRACT The purpose of this article is to compare the Perrakis and Ryan bounds of option prices in a single‐period model with option bounds derived using linear programming. It is shown that the upper bounds are identical but that the lower bounds are different. A comparison of these bounds, together with Merton's bounds and the Black‐Scholes prices in a lognormal securities market, is presented.
Publication Year: 1985
Publication Date: 1985-09-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 165
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