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Option Pricing Bounds and the Elasticity of the Pricing Kernel

✍ Scribed by James Huang


Book ID
111606328
Publisher
Springer US
Year
2004
Tongue
English
Weight
191 KB
Volume
7
Category
Article
ISSN
1380-6645

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The objective of this article is to provide an axiomatic framework in order to define the concept of value function for risky operations for which there is no market. There is a market for assets, whose prices are characterized as stochastic processes. The method consists of constructing a portfolio