The Derivation of the Option Pricing Bounds

Authors

  • Мария Вячеславовна Коростелева St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation https://orcid.org/0000-0002-5076-7192

Abstract

This paper is devoted to the analysis of the methods of estimation of the European call option pricing bounds. The author considers the derivation of the option pricing bounds under the absence of risk-free assets, and analyses two methods of the derivation of the option pricing bounds under the risk-free assets. The method of the derivation of the option pricing bounds under the discrete time is considered.

Keywords:

Option

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Author Biography

Мария Вячеславовна Коростелева, St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation

кандидат экономических наук, доцент

References

Литература на русском языке

Бригхэм Ю., Гапенски Л. Финансовый менеджмент. СПб., 1997. С. 148.

Коростелева М.В. Методы анализа рынка капитала. СПб., 2003. С. 31.

Крушвиц Л. Финансирование и инвестиции. Неоклассические основы теории финансов. СПб., 2000. С. 137.


References in Latin Alphabet

Black F., Scholes М. The Pricing of Options and Corporate Liabilities//Journal of Political Economy. 1973. N 81. May-June. P. 637-654.

Copeland Т.Е., Weston J.F. Financial Theory and Corporate Policy. Addison-Wesley, 1992. P. 115.

Merton R. Theory of Rational Option Pricing//Bell Journal of Economics and Management Science. Spring. 1973. P. 151.


Translation of references in Russian into English

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Published

2005-09-30

How to Cite

Коростелева, М. В. (2005). The Derivation of the Option Pricing Bounds. St Petersburg University Journal of Economic Studies, (3), 144–152. Retrieved from https://economicsjournal.spbu.ru/article/view/4524

Issue

No. 3 (2005)

Section

Mathematical models in economics

License

Articles of the St Petersburg University Journal of Economic Studies are open access distributed under the terms of the License Agreement with Saint Petersburg State University, which permits to the authors unrestricted distribution and self-archiving free of charge.