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Stochastic dominance bounds on derivative prices in a multiperiod economy with proportional transaction costs

Author: George M Constantinides; Stylianos Perrakis; National Bureau of Economic Research.
Publisher: Cambridge, MA. : National Bureau of Economic Research, ©2002.
Series: Working paper series (National Bureau of Economic Research), no. 8867.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Abstract: By applying stochastic dominance arguments, upper bounds on the reservation write price of European calls and puts and lower bounds on the reservation purchase price of these derivatives are derived in the presence of proportional transaction costs incurred in trading the underlying security. The primary contribution is the derivation of bounds when intermediate trading in the underlying security is  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: George M Constantinides; Stylianos Perrakis; National Bureau of Economic Research.
OCLC Number: 49968477
Notes: "April 2002."
Description: 1 online resource (56 pages).
Series Title: Working paper series (National Bureau of Economic Research), no. 8867.
Responsibility: George M. Constantinides, Stylianos Perrakis.

Abstract:

Abstract: By applying stochastic dominance arguments, upper bounds on the reservation write price of European calls and puts and lower bounds on the reservation purchase price of these derivatives are derived in the presence of proportional transaction costs incurred in trading the underlying security. The primary contribution is the derivation of bounds when intermediate trading in the underlying security is allowed over the life of the option. A tight upper bound is derived on the reservation write price of a call and a tight lower bound is derived on the reservation purchase price of a put. These results jointly impose tight upper and lower bounds on the implied volatility.

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