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On the Equality of Two Lower Bounds on the Call Price: A Note

Published online by Cambridge University Press:  06 April 2009

Kanwal Sachdeva
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Abstract

This note shows that, appearances to the contrary, the lower bounds on the price of a call option obtained by Levy and by Ritchken are identical, and that this common bound is never inferior to the lower bound obtained by Perrakis and Ryan.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 21 , Issue 2 , June 1986 , pp. 235 - 237
Copyright
Copyright © School of Business Administration, University of Washington 1986

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References

REFERENCES

[1]Levy, H. “Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach.” The Journal of Finance1, 40 (09 1985), 1197–1217.CrossRefGoogle Scholar
[2]Perrakis, S., and Ryan, P.. “Option Pricing Bounds in Discrete Time.” The Journal of Finance, 39 (06 1984), 519–527.CrossRefGoogle Scholar
[3]Ritchken, P. “On Option Pricing Bounds.” The Journal of Finance1, 40 (09 1985), 1219–1233.CrossRefGoogle Scholar