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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
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.
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- Copyright © School of Business Administration, University of Washington 1986
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