Research Reports from the Department of Operations
Document Type
Report
Publication Date
1-1-1985
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.
Keywords
Operations research, Options (Finance), Pricing--Mathematical models, Linear programming, Securities--Prices, Lognormal distribution
Publication Title
Technical Memorandums from the Department of Operations, School of Management, Case Western Reserve University
Issue
Technical memorandum no. 555
Rights
This work is in the public domain and may be freely downloaded for personal or academic use
Recommended Citation
Ritchken, Peter H., "On Option Pricing Bounds" (1985). Research Reports from the Department of Operations. 359.
https://commons.case.edu/wsom-ops-reports/359