Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6898113 | European Journal of Operational Research | 2013 | 14 Pages |
Abstract
⺠We generalize results on bounding security prices under two alternative models. ⺠These models are based on different specifications for stochastic volatility. ⺠We compute analytical expressions for benchmark and standard good-deal bounds. ⺠We find that our benchmark results generate much tighter bounds. ⺠We analyze the properties of bounds by a sensitivity analysis and deriving Greeks.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Naroa Marroquı´n-Martı´nez, Manuel Moreno,